Dec 5. Heavy put buying on deferred euro$ contracts

–Continued pressure on interest rate futures in front of tomorrow’s employment data.  New highs in deferred one-year euro$ calendar spreads.  Peak in one year spreads is June’16/June’17 which settled 114.5, +2 on the day.  Highest any one year spread settled this year is 122.5.  Red/gold pack spread made new recent high 293.75, less than 5 bps from the year’s high.  Ten year yield rose 6.5 bps to 2.84.
–Massive new put buying yesterday, mostly in the form of midcurve butterflies on EDZ’15 and EDH’17 underlying contracts. For example 3EF 9750/9725/9700p fly 3.5 paid for 50k and 3EH 9750/9700/9650p fly 7.5 for 50k.  Heavy buying on Green Dec midcurve puts, which expire one week from Friday.  The 9900 put settled 3.25 with EDZ15 9906.5 settle.
–Today’s news includes Q3 GDP revision, expected 3.1%, Jobless Claims 322k and Factory Orders -1.2%.
–From Business Insider: “Bitcoin prices fell from a high of $1,240 to a low of $870 this morning.”  A drop of 30%, as China bans financial companies from bitcoin transactions.  In another reaction to gov’t rules, though decidedly in the ‘old school’ category, Reuters reports that gold smuggling has surpassed the illicit drug trade in India.  In terms of safety and an anonymous means of transaction, perhaps the one you can physically hold will again gain favor.

Posted on December 6, 2013 at 5:09 am by alexmanzara · Permalink
In: Eurodollar Options

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