Treasury Option Action: a put strategy mulled
Treasury Option Action: a put strategy mulled included a dealer purchase of 10k in November 125.00 puts against sales of 5k in Decemeber 123.5 puts, along with purchases of 129.00 and 129.5 calls on 10-year futures. At a superficial level the strategy appears to be aimed "financing a 'long put position' with sales of the longer dated strikes," according to sources. Tomorrow's open interest may provide clues as to whether this is a new position or liquidation. It reportedly targets a move towards 2.36% in the underlying equivalent cash yield but not through 2.54% from 2.24% presently. December 10s are 3-ticks lower near 125.315 compared to a range of 126.07-125.31 in relatively light volume on Globex as the Fed sits down today to mull its own policy options.