### Heavy sub cab trade last few.....>

US TSY OPTIONS: ### Heavy sub cab trade last few minutes

* +96,000 FVZ 112.25 puts for cab-7. Likely to be more if looking to replace the

massive amount of soon to expire Sep options below the 115 strike (open

interest: 252,442 in the 109.2 put, 144,831 from there to the 115 put)

* +30,000 TYZ 114.5 puts, cab-7 (open interest in the TYU 111 put is 165,472).

Interesting to see the acct going up in strikes on the position roll-out instead

of lower. Sub-cab options had made a name for themselves a few years ago when a

local took advantage of clearing practice at the time to settle the options for

a full cab, yielding an immediate profit on paper for the buyer that carried on

by doubling down and rolling out as expiration neared -- until officials figured

out what the trader was doing (artificial paper gains to hide trading losses),

but not until the trading group he worked for couldn't absorb the $20+ million

in losses when the options expired worthless. Since then, the options are

settled daily at sub-cab levels. Such extreme out of the money options continue

to trade (usually in quarterly expirys instead of serials) to fill the gap in

some large funds risk profile that corresponds to unrealistically high yields.