Front month Euro contracts continue to trade lower as Libor setting continues to rise. This triggered some decent roll - downs in option postions.
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Also from today A-tic plus report:
Longer end so same large flows as we have seen recently – exiting large call fly in Dec. (those options expire a week from this Friday) and getting into Feb which expire the 3rd Friday in Jan. It looks like the selling in the Jan 132 calls may be exiting long positons as dealers were large buyers of call flys on the 9th and 10th see below.
|
11/10/2011 |
Paper |
B |
25,000 |
TYF 132/134/136 c fly |
0.15 |
^13016 |
|
11/9/2011 |
Crossland |
B |
15,000 |
TYF132/134/136 c fly |
0.16 |
13021.5 area |
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