June 9.

Heavy interest rate option volume Tuesday, dominated by call structure buying in treasuries.  UBS a buyer of TYU 121/123/125 c 1x3x2 paying 11 for the body in size of 40k x 120k x 80k.  Appears to be a roll out of lower strikes leaving long 123-125 c spreads. Also bought TYQ 126/28c spd for 7 and bought 10k USZ 140/143 c sprd for 13.  Open interest up in TYU calls 156k.

–There was a sizable buyer of EOU 9900c for 2.5.  Heavy buying of July 9875/9900 p spread for 1.75 to 2.0 in size of 20k. 

–In spite of treasury auctions today and tomorrow the ten year note closed near its high as bullish option plays put a floor under the futures.  

–The front end of the eurodollar curve was also strong with EDZ0 up 5 on the day to 9912.0.  With EDM10 set to expire Monday at a price of 9946 or so, EDU and EDZ are feeling gravitational pull to lower rates as Fed is expected to remain idle through the year. 

–The euro continues to be pressured as authorities flail around. Substitute “EU officials” for “policeman” in this old Chicago Mayor Daley quote…”The policeman isn’t there to create disorder; the policeman is there to preserve disorder.”

Posted on June 27, 2010 at 1:00 pm by alexmanzara · Permalink
In: Eurodollar Options

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