Chunky FVJ and TYJ put buys
February 16, 2024
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–Large feature yesterday was TYJ and FVJ put buying. A few spread details are shown at bottom. While open interest increases were huge in TYJ puts, which added 132k open in total, (mostly in TYJ 109.5p, +79k), there was clearly some rolling from March to April puts. In futures, TYH4 open interest fell 28.5k and TYM4 increased just 23k. So large put trades, which I would say argue for a bearish outlook today and beyond, didn’t really translate into an increase in futures OI. In any case, as of this writing, TYH is 109-30, -7.5 and, depending on this morning’s data, could easily test the CPI low of 109-17.
–In FV the picture is more clearly bearish: Large put buyer and OI up in futures, both FVH, +29k and FVM, +25k.
–Note that yields ended slightly lower across the board. 5y yield -2.8 bps to 4.215% and 10y -2.5 to 4.24%.
–April options expire 22-March, 2 days after the March 20 FOMC. Also, it was announced yesterday that Powell will testify in front of Congress on Thursday, March 7, the day before NFP. The buy of 33k TY week2 110/108.5ps for 20, covered 110-06, 22d, occurred after the Powell announcement. Week-2 puts expire on 8-March, Employment day.
–This morning PPI is released, expected yoy 0.8 from 1.0 last, with Core yoy 1.7 from 1.8.
–Monday is a US holiday.
+15k TYJ 110/108.5ps 22
+22k TYJ 109.5p 28
+50k FVJ 106.5p covered 107-107, 29d, 22 paid
+5k TYH4 109.5p 7
+33k TY wk2 110/108.5ps cov 110-06, 22d, 20 paid
TYM4 settled 110-23
In TYJ puts the largest increase in open interest was 109.5p, which settled 32, OI gained 79.4k according to prelims
TYJ 108p settled 13 with an increase in OI of 13.3k
In all April puts, open interest added a whopping 132k
The week-2 put spread was also new; settled 30 with OI +37.3k and 24.5k
FVJM4 settled 107-08
FVJ 106.5p settled 24.5 with OI +42.6
