Whale Trade Alert - “Bernie Calls” Massive buying in EDZ0 99.50 Calls

February 12, 2020 03:00 PM
Focus seemed to be selling front calls, buying deferred expiration calls.
Eurodollar options volume of 1.5M+
Eurodollar Futures decent volumes, options trading over 1.5M contracts
Interest Rates Report

Interest Rates Report

ED Futures and Options Market Recap: February 12, 2020

Futures traded in a relatively tight range for most of the day. Most futures had a trading range of 5 or fewer ticks. With little economic data and the second day of Powell’s testimony before the Senate banking panel, there was little impetus to drive prices either way.

Big Trades

EDH1 99.00/99.50 call spread, paying 8.5-9.0 on 85K (see note)

EDM0 98.625 calls, selling 35K from 4.5-4.25

EDM0 98.50 calls, selling 50K from 7-6.5 (see note)

EDU0 87/90/92 call fly, paying 1.5 on 30K

EDZ0 99.50 calls, paying 2 on 50K (see note)

EDZ0 99.00/99.50 call spread, paying 5.5 on 50K


Things to Watch in Interest Rate Futures

1) Big trade in the EDH1 call spread. My first thought was that it was the EDH1 call tree trader adjusting their position. But that’s the Asian Block Trader who was doing al those, and the execution doesn’t match their style. This certainly could be a strike adjustment of some other legacy position, but that would be impossible to tell. Regardless, it’s a decent premium and it was followed by the same structure being bought in EDZ0. Maybe someone is getting nervous or maybe they just didn’t like the feeling of the last big rally and wanted some upside protection? If so, that would be expensive protection!

2) Lots of June calls sold today. Almost 100K between the 85 & 86 strikes. Not was has changed between yesterday and today, but apparently June isn’t going anywhere for a while? Lots of factors at play here. June is the only contract that expires after a FOMC meeting this year. Also, recent reports have FRA/OIS moving into the 5-10 bps range by the end of June. No new news, so not sure why they didn’t take advantage of yesterday’s rare uncoupling from equities to sell these calls. I guess when sentiment shifts, it’s time to go!

3) Massive buying in EDZ0 99.50 calls. Paying 2 on 50K today. That brings the two day total to 100K. So basically, looking for rates to go back to around zero by year-end. That seems aggressive, but it’s a long way out with lots of external factors hanging over our heads. Although, some around here are calling these “Bernie Calls”.

About the Author

Albert Marquez is a Chicago-based options and futures broker, specializing in interest rates. You can reach Albert on Twitter@STIR_Report or stirreport@gmail.com.