Selling puts and buying call spreads on ratio’s was a good trade – there were a number of these “ratio” trades put on during the month of June today we saw good size liquidated at what looks to be a nice profit on of the strategies – or at least a piece of one of the strategies. http://financialfutures.typepad.com/kiss/2011/06/treasury-trading-update-6.html .
From reports I read yesterday I am more emboldened to play the upside in the front end of the Eurodollar curve – basically because it looks like the banks are taking the necessary precautions and the stress tests in Europe are providing enough transparency so that a Lehman like debacle is not likely to occur.
Basically I think you have to play things for now that the can will get kicked sufficiently down the road – it’s simply a matter of how far and how much damage – think municipalities continue to emerge and fester.
Larger flows from a.m. session listed below.
| 7/28/2011 | |||||
| Mann | B | 2,000 | EEDV90/92 ps vs U85/90 ps | 1.5 for V | N/A |
| Paper | B | 5,000 | EDQ90/92 p spread | 0.5 | N/A |
| Icap | B | 20,000 | EDH95/96 c spread | 7.5 | 9944/44.5 |
| Paper | B | 20,000 | EOU88/91 p 1X2 | 0.5 | 9932/32.5 |
| Paper | B | 1,000 | EDQ9900/9925 p spred | 0.5 | 9961.5/62 |
| Merril | B | 3,000 | EDZ90/92/95 p fly | 2.75 | 9949/49.5 |
| Local | B/S | 5,000 | EDZ1 90/92 p spred | 3 | N/A |
| Paper | B | 1,000 | EOQ9900 p | 0.5 | 9931.5/32 |
| Paper | B | 5,000 | EDH14 9800 p | 33.5 | 9815.5 area |
| Paper | S | 50 to 100K | EDH14 9812/9825 c spread | 6.5 | 9815.5 area |
| Licquidating trade for good profit entered 6/8/11 | |||||
| Fed Fund Opts | |||||
| New Edge | B | 500 | FFQ 9981p | 0.5 | 9989/89.5 |
| 10yr. Opts | |||||
| Morg St | B | 5,000 | TYU 121p | 0.18 | 12413/14 |
| Paper | B | 2,000 | TYU124/126 combo | 0.31 | ^12414.5 |
| New Edge | B | 2,000 | TYV 119/122 p 1X2 | 16 | 12416/17 |
| New Edge | B | 3,000 | TYWk 5 125 c | 0.03 | 12415/15.5 |
| Paper | B | 1,000 | TYU121/122.5/123.5 p tree | with see below | 12413/14 |
| Paper | B | 1,000 | TYU121.5/123/124 p tree | flat for both pieces | 12413/14 |
| Above 2 executed as a package - bought both and pieces over on both paid flat for trade | |||||
| Merril | S | 1,000 | TYU123.5p | 0.46 | ^12417 |
| Paper | S | 1,000 | TYU124/126 combo | 0.28 | ^12416.5 |
| BCG | S | 500 | TYU121/122 p spread | 0.09 | 12417.5/18 |
| CCM | B | 500 | TYU121/123 p spread | 0.22 | 12414.5/15 |
| Paper | S | 1,000 | TYU123.5p | .45 and .46 | 12415 to 17 |
Comments