Nov 22. TY adjustments going into TYZ option expiry
–Large trades in TY options Wednesday as December options expire on Friday. Buying of TYZ 119c in size from 11 to 14, settled 18 vs 119-075, open interest declined by 72k but there were still 104k left. TYF9 121c were bought for 12, settled 14 with an increase of just under 39k. And TYG 121.5c were sold at 8, with new open interest of 60k, settled 9. There were also several trades replacing wings which are set to expire Friday. For example, a new buyer of 35k TYG 124c for 2.
–The jump in libor to 2.6769 caused renewed weakness in EDZ8 which settled 9724.25 with a drop in open interest of 31k. So the basis is now just over 8 bps with 17 business days until expiration. New low in EDZ8/EDH9 at just 8.25 bps.
–Huge new buy of 60k EDU9 9725/9750 c 1×2 for -0.5 (took credit). Settled -0.75, 8.75 and 4.75. If the last hike were to be in December, then a slight tilt towards an easing bias over 2019 would make this position pay.
–Huge new buy of 60k EDU9 9725/9750 c 1×2 for -0.5 (took credit). Settled -0.75, 8.75 and 4.75. If the last hike were to be in December, then a slight tilt towards an easing bias over 2019 would make this position pay.
–Stocks continue to trade with an offer (lower this morning amid thin conditions). Invidia NVDA has been cut almost exactly in half since the beginning of October. GS sees no bounce, down nearly a third since March. Monetary policy takes a back seat to geopolitics this week going into the G20.
