From today's accutic plus report:
S&P is on the loose and they are doing a bit of grim reaping – lopping alpha characters of Eurozone sovereigns – Italy so far has felt the blade and they’re just getting warmed up.
We seem to be seeing some “sell the fact” type profit taking in some of the call structures that have been built up in deferred month Eurodollar options. That would be prudent as the stronger hands are supposed to hand things to the weaker hands. Back when they were putting these structures on in Nov futures were 20 ticks plus lower in the Mar. 15 futures and around 15 ticks lower vs. the June 15 futures so again prudent to sell some on a day like today…
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Thanks,
TomP
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