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US EURODLR OPTIONS

BLOCK, 3Y Midcurve Calls

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Bonds extended late overnight lows after ECB policy annc (deposit and key refi rates unch'd but revised forward guidance ), perhaps not as dovish as anticipated as Bunds trade lower as well. Futures bouncing now but still remain weaker, yld curves steeper:

  • 3M10Y +1.416, 124.93 (L: 121 / H: 126.269)
  • 2Y10Y +0.983, 108.843 (L: 105.537 / H: 110.148)
  • 2Y30Y +0.64, 173.529 (L: 170.147 / H: 175.165)
  • 5Y30Y +0.403, 120.485 (L: 118.895 / H: 121.16)