Jan 17. Yesterday was a big day for put buying on short end

–Though interest rate futures were higher on the day there was a tremendous amount of put buying yesterday, especially on EDZ15, EDH16 and EDM16 contracts.  The curve flattened, with peak one year spread Dec15/16 down 3 bps to a new low of 111.  New recent lows as well in red/gold pack spread (280, -5.375), 2/10 (245.7, -2), 5/10 (120, -1.2) and 5/30 (213.2 -0.2).  While treasury vol was a shade softer, red and green eurodollars were bid.  For example, there was a buyer of red pack atm straddle strip from 242.5 to 243…not in big size but it had settled 239.5 the previous day and settled 242 yesterday.  Ten year straddles were lower on the day…
–News today includes Housing Starts expected 0.985k, Industrial Production +0.3 and Consumer Sentiment 83.5.  Jolts data as well.
–In 2EH (green march) puts alone open interest was up 227k contracts.  While some observers might wring their hands and say that derivatives are out of control and another $250 BILLION in notional was added yesterday, the Green March put structures are fairly tightly capped.

–Below is a summary of some of the positions and OI changes:

2EH 9825/9875 combo covered 53.5, 4 puts vs 3 calls, 6.0 paid for 8k x 6k  (prices 6 and 6)
2EH (grn march) 9862/9837/9812p fly 5.5 paid 30k
2EH 9850/9825/9812p fly 1x3x2 4.0 paid 20k

OI changes: 86p +25k, 85p +20k, 83p +58k, 82p +59k and 81p +65k

2EM (green June) 9775/9875 combo  3.0 paid for put (no futs) 30k, OI up 30k in both puts and calls

0EZ (red dec midcurve) 9862p 25-25.5 paid for 6k, OI +6k

0EM 9937/9912p vs 9950c cov 9927.5 bot put spread OI +10k all

2EH 9825p/3EH 9700p ppr pay 1.5 for green approx 15k

Seller of 100k 2 year note futures, OI +49k

Posted on January 17, 2014 at 5:34 am by alexmanzara · Permalink
In: Eurodollar Options

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