投稿者: whitegru3

08:12 10/19 US EURODLR FUTURES: Decent pre-open volume so far, curve steeper as
the front end bounces back fro Mon’s pressure. On the screen, the Whites
(Dec10-Sep11) have traded appr. 219,000 contracts while the Reds
(Dec11-Sep12) trade 82,000. In the front four, Dec10 contract trades
appr. 81,000 futures between 99-63.5 and 99-66, Mar11 trades appr 64,000
contracts between 99-57.5 and 99-61, Jun11 trades appr. 40,000 contracts
between 99-53.5 and 99-57, while the Sep11 trades appr. 34,000 contracts
between 99-48 and 99-51.


08:22 10/19 US SWAPS: Spds extend tighter by the NY open, front end leading as the
spd curve re-steepens w/Tsy curve. Financial stock earnings starting to
roll out, easing foreclosure issue/funding concerns that spurred recent
payer interest desks say. Meanwhile, receiver in 5s overnight add to
move while others report exotic paying in long end, not FX-tied. Desks
on watch for increased swappable corp supply as well–balanced partially
by curve flattener, spd widener interest as “expression of QE,” one desk
adds. On Mon, spds finished mostly wider, front end leading move w/spd
curve extending flatter, spill-over from Fri. Front end spds widened
after some modest front end payers via 2yr Eurodlr bundle sale, spd
flatteners and deal-tied rate locks. Volume fairly muted Mon, desks
sidelined ahead various Fed speakers, upcoming FOMC and financial stock
earnings. According to Tullet Prebon:
Time  (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid  30Y Swap/Mid
Tue Open     -1.25/17.75   -1.00/25.00   -1.00/6.25    -0.75/-39.75
Mon 3:00     +1.00/19.00   +0.75/26.00   +0.50/7.25    -0.50/-39.00

08:36 10/19 US EURODLR OPTIONS: Sources report a prop desk bought 4,000 Dec 90/92/95
put flys at 1.25 ahead of the data while a second paid 2.75 for 1,500
Dec 95/96 1×2 call spds. Light screen volume so far at just under 6,000.

08:47 10/19 US EURODLR OPTIONS: Still light at under 10,000 options so far, screen
interest has a buyer of some 6,000 Nov 97 calls at 0.5, offer reloaded
small at 0.5, better offer size at 0.75. Meanwhile, in the pit, a prop
desk buys 10,000 Nov 92/95 put spds at 0.5 over the Dec 97 calls
while paper trades 1,000 Red Mar 75/80/85 call flys at 2.0.

08:58 10/19 US EURODLR OPTIONS: Flow update, sources report a prop desk is up to
some 20,000 Nov 92/95 put spds bought at 0.5 over the Dec 97 calls this