ED Futures and Options Market Recap: January 6, 2020
The first “real” trading day was met with little enthusiasm. Futures trade in a 5-6 tick range for most contracts. No real economic news as markets continue to monitor the situation in the Middle East and look forward to unemployment numbers at the end of the week.
Big Eurodollar Option Trades
EDZ0 98.635/98.875 call spread 1x2, selling the 2 legs at 1, 20K
EDZ0 98.625/18.104.22.1685 call tree, buying the one leg at 0.5, 40K
EDH0 98.50/98.625/98.75/99.00 call condor, paying 0.25 on 15K
EDM0 98.125/98.25/98.375 put tree, selling the 1 leg at 6, 10K
Things to Watch in Interest Rate Futures
1) SOFR options started trading today. Not much activity, as you might guess. Some early quotes and then later in the day a 5 lot of March straddles traded. Best guess is a small trade was done to test the back office processing before things really heat up. Stay tuned!
2) As traders make their way back to their desks this week, look for a continuation of recent themes. Buying calls and selling puts. This is especially true when we see a pullback in futures. It’s moved skews quite a bit. In fact, the EDZ0 98.25/98.875 risk reversal was quoted around even. With a futures level reference of 98.455 in EDZ0, this represents a put that is 20.5 ticks out of the money and a call that is 42 ticks out!
3) Not a lot of excitement with regards to trades. The EDZ0 trades were blocked before the open. I would say it’s the return of our Asian Hours trader, but these were done at 2:12 am CST, so not exactly the same as before. The EDH0 condor was probably some cheap upside being bought and the rare vol seller in EDM0 was a cover.