Monday, May 12, 2014

What 180K ED Options and Record Net-Short Gets You

Simply looking at today’s EDM6 Eurodollar price action, a chunky bearish trade and record net-short ‘non-commercial’ account position does not buy what it once did.  

Today it appears that a large-scale short position was rolled-up to higher strike. 
Earlier today:
40,000 Green Jun 81 puts at 1.0
100,000 Green Jun 82 puts at 3.5
40,000 Green Jun 83 puts at 8.0
vs. 4,000 Green Jun'16 futures at 98.40

From April 11th: 
40K at 0.5 (half tic):
40,000 Green Jun 78 puts
80,000 Green Jun 81 puts
40,000 Green Jun 82 puts

CFTC Described ‘non-commercial’ accounts added new net-shorts Eurodollars in the week ending Tue April 6.  The 209,000 (future and option combined) net short position add plummeted the record well below anything ever seen.  Prior exaggerated net short positions in 2004 and 2006 and again in 2011 were only 6-700K.  

Friday’s price action is non-confirming of the Wed/Thur bullish run.  The bearish ‘hanging man’formed on Friday is not confirmed and today’s price action is somewhat neutral thus far.   

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