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Early Eurodollar/Tsy Option Roundup

US TSYS
  • Eurodollar Options:
    • 6,000 short Jun 97.25 calls, 1.5-2.5
    • Block, +5,000 Dec 96.25/96.50 3x2 put spds, 1.5 net
    • +5,000 short Dec 97.75/98.25 call spds, 8.5
    • +2,000 short Jul 96.37/96.62 3x2 put spds, 5.5 ref 96.955
  • Treasury Options:
    • 7,100 TYN 120.25/121/127.75 call trees
    • 5,100 FVN 113.25 puts, 28
    • 15,000 TYN 117/121 strangles, 40
    • +4,000 TYN 116/117 put spds, 3 vs. 120-11.5/0.04%
    • 3,300 FVQ 110.25 puts, 5.5

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