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Eurodollar/Tsy Option Roundup

US TSYS

Gyrations in underlying FI futures Friday spurred buyers of wing insurance (low delta calls and puts), challenging environment for active traders. Bonds see-sawed around steady before rallying around midmorning, curves flattening with short end rates underperforming all session.

  • Bonds trimmed gains by noon, holding to a narrow range while the short end pared losses after Cleveland Fed President Mester pushed back on any need to hike 75 bp at the May 4 FOMC in an interview on CNBC after the close. Note, lead quarterly Eurodollar futures EDM2 traded 98.11 (-0.065) after the bell vs. 98.050 session low.
  • Salient Eurodollar trade included a buy of 5,000 Sep 97.75/98.00/98.25/98.50 call condors after block buy +10,000 Sep 96.00 puts, 7.0 ref 97.275.
  • Treasury options saw decent 5Y volumes with 12,000 FVM 113/114 1x2 call spds at 5.5 and over 22,000 FVM 114 calls, 12.5-13. Early Blocks: total 25,000 FVM 111.5 puts, 34.5 vs. 15,000 FVM 112.5 puts, 62.
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Gyrations in underlying FI futures Friday spurred buyers of wing insurance (low delta calls and puts), challenging environment for active traders. Bonds see-sawed around steady before rallying around midmorning, curves flattening with short end rates underperforming all session.

  • Bonds trimmed gains by noon, holding to a narrow range while the short end pared losses after Cleveland Fed President Mester pushed back on any need to hike 75 bp at the May 4 FOMC in an interview on CNBC after the close. Note, lead quarterly Eurodollar futures EDM2 traded 98.11 (-0.065) after the bell vs. 98.050 session low.
  • Salient Eurodollar trade included a buy of 5,000 Sep 97.75/98.00/98.25/98.50 call condors after block buy +10,000 Sep 96.00 puts, 7.0 ref 97.275.
  • Treasury options saw decent 5Y volumes with 12,000 FVM 113/114 1x2 call spds at 5.5 and over 22,000 FVM 114 calls, 12.5-13. Early Blocks: total 25,000 FVM 111.5 puts, 34.5 vs. 15,000 FVM 112.5 puts, 62.