More blue puts

October 9, 2020

–Yields eased yesterday with tens down 1.9 bps to 76.4 as the treasury wrapped up the 30y auction.  New recent high in ten year note to tip breakeven spread at 172 bps (long term inflation expectation).  The high mark of the spread according to my data was on Jan 2 at 180.5, so it’s been nearly a full recovery from the low set in mid March of 50 bps.  Amazing what a few trillion $’s can accomplish.  Also, EDZ0 to FFF1 spread made a new low settle of just 16.5, as turn is further squeezed out.–Seller yesterday of 30k EDU22 at 9970.5.  Appears to have been an exit as that contract had the biggest change in open interest, falling 17k.  US (bond) vol was crushed yesterday.  On Wednesday, USX 174 straddle settled 2’22.  On a block trade early yesterday morning, there was a seller of 5k USX 174p at 1’12 cov 173-26, equivalent to 2’12 in the straddle, and by day’s end the settle was 2’04 with two weeks until expiry.  USZ straddle fell from 4’50 to 4’38.  –In a continuing theme, there was a lot of put buying in blue midcurves, most notably 3EH or blue March.  These options expire 12-March, 2021 on the underlying contract EDH’24 which settled 9942.5.  Not that it much matters, but the March FOMC meeting is on the 17th.
Large trades:
3EH1 9937/9925ps 3.75 paid 20k
3EH1 9937/9912ps vs 9975c 2.5 paid 5k
3EH1 9937/9900ps 8.0 paid 10k

Settles, EDH4 9942.5
3EH 9937p  9.75s open interest +26.5k
3EH 9925p  6.25s open interest +14.5k
3EH 9912p  4.00s open interest -750
3EH 9900p  2.50s open interest +9335

–Stocks higher this morning, with gold and silver also higher, swept up in the draft of bitcoin’s strength yesterday.
–Light news today.  Columbus Day Monday.  No, you can’t have the day off, because you’ve toppled all the statues.

Posted on October 9, 2020 at 5:26 am by alexmanzara · Permalink
In: Eurodollar Options

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