Trade Action In Upside Eurodollar Jan 2020 98.75/99.00/99.25 Call Tree

Options trades focused on first quarter of 2020.
Vol slightly higher, following recent trends of moving with futures
Floor volume slightly higher than screen volume with minimal block trades
Interest Rates Report

Interest Rates Report

ED Futures and Options Market Recap: August 28, 2019

 

Futures edged higher for the majority of the day on a quiet session with no economic numbers and no major Twitter bombs about China.

 

Big Trades
 

EDF0 98.25/99.25 call spread, paying 8 vs 98.48-98.495 on 50K (see note)

EDH0 99.00/99.125 call spread, paying 2 on 20K

EDU9 98.00 calls, paying 3.5 vs 97.98 on 50K

 

Things to Watch in Interest Rate Futures
 

#1 Once again we had a lot of action in the January contract, with a focus on the upside. Basically, over the last few days, a player has put on a 98.75/99.00/99.25 ratioed call tree. This is interesting because the January contract doesn’t cover any additional Fed meetings over the Dec contract. It has an extra two weeks of time decay not included in the Dec expiration. The best guess is that they want exposure to the March 2020 contract without the wait.
 

#2  Futures are once again on their highs. After a slight pullback following the Jackson Hole Symposium, Trump fired off more tweets criticizing the Fed and threatening more trade war action. With NFP looming next week, it’s hard to imagine a scenario that breaks futures down significantly, but easy to see them posting more new highs. Elevator up, stairs down.

 https://ccm.quikstrike.net/ChartImages/BANTIXWFENLB02/FUTCHGHIS_000009.png?e98690c6-506b-467d-b4ca-34e607eab1f4
Source: Quikstrike


#3 Overall open interest continues to march higher as the put/call ratio moves lower. Although much lower than earlier in the year, the ratio hasn’t moved as aggressively lower as expected. This would be due to the fact that although the focus has been on the upside through call structures, a lot of them have been financed through the sales of puts and put structures. Something to keep in mind if the market changes its mind about future Fed policy!

https://ccm.quikstrike.net/ChartImages/BANTIXWFENLB02/VOIH_000004.png?9b74c627-6693-4338-a2b1-cc146fb23b74

Source: Quikstrike

 

 

About the Author

Albert Marquez works for Chicago Capital Markets (CCM) and covers Eurodollar & Treasury Options and Futures. Albert can be reached  on Twitter @STIR_Report or amarquez@ccmmarkets.com