Big liquidation this week of a very profitable call spread position in EDU0 and EDZ0. In EDU0, the 98.75/99.375 call spreads were bought way back in September, paying between 7-8.5, with a majority bought for 7.5 ticks.
Markets improved this week as participants settled into the reality of fully electronic markets. The continued rise in 3-month Libor drove the action in the front end of the curve, while anticipation of a relaxing in funding pressure in the fourth quarter drove much of the action in September and further out on the curve.
Futures had big ranges this week. Highs were put in on Sunday/Monday as Fed cut rates to 0-25 bps. Hectic trade as traders scrambled to cover risk and position for further Fed stimulus as the COVID-19 pandemic continues.
It appears as though the interest rate market has reached a point of exhaustion. Much quieter the last few days with in-the-money call liquidations a continuing theme. Big ranges are still being seen in most contracts, mainly taking cues from equities, virus updates and now oil news.
Massive Eurodollar Option volumes were driven by the only thing that matters right now, virus updates. Futures rallied straight up into the equity open and then followed the stocks lead for the rest of the session.
Futures put in their session lows early in the overnight session and trended higher all morning. After equities opened, futures took their clues from equities and continued to move higher throughout the session, closing at or near their highs.