March 20. Treasury rates surge with tens to 2.38%

March 20. Rates surged yesterday with ten year hitting new high close of 2.38% up 8 bps. 2/10 went to 200. New red/gold pack spread 203, up nearly 13 bps! Eurodollar option trading featured huge buying of green and blue put structures (more below), almost all new. Back spreads rose the most…for example EDZ12/13 was up 3 to 36.5, while the next year spread, EDZ13/14 was up 5.5 to 61.
–AAPL closed at a new high above 600 as it unveiled its dividend news, but the broader market slipped from its highs going into the end of the session. This morning Hong Kong and China are down over 1%. There is a report from BHP that sees Chinese iron demand slowing. News from China increasingly confirms a slowdown.
–A couple of news items mention that Saudi Arabia will ride to the rescue of high oil prices, though I think the damage is done just due to volatility.
–Bernanke gives a speech at a university at 12:45 according to Bloomberg. Probably doesn’t have much in the way of policy implications that isn’t already known.

Summary of some put buying:

0EM 9925/9900ps sold at 3.5 vs +3EM 9800/9775ps 7.0, 15k midcurves …EDM3 is 9932 so 7 otm vs EDM5 9815, so 15 otm

pkg…+8k 2EM 9875/9850ps 6.0, +8k 3EM 9800/9775ps 6.5, sell 16k 0EM 9925/9900ps 3.5
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Below are not steepeners…just shorts further out curve:

3EM (blu jun) 9775/9750ps 3.5 paid for 10k covered 9820

2EM (grn june) 9862p bot vs 9912/9925c spd 5.5 to 6 to 6.5 for 15k

On this last one I believe it is a guy covering residual position of same position the other way in April expiration.

Posted on March 20, 2012 at 5:32 am by alexmanzara · Permalink
In: Eurodollar Options

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