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E-MINI S&P (Z2): Nearing Critical Support

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Eurodollar/SOFR/Treasury Option Roundup

US TSYS

With a few exceptions, option trade continued to center on downside puts even as chances of more aggressive rate hikes in the latter half of the year started to fade.

  • Tsys held near session highs after initially selling off after the ECB hiked 50bp. Brief post-ECB hike sell-off in Tsys say 30YY hit 3.2035% high. Tsys bounced on weak US data soon after: weekly jobless claims higher than expected at 251k vs. 240k, continuing claims 1.384M vs. 1.340M est, sharp miss on Philly Fed Mfg index at -12.3 vs. 0.8 est.
  • Highlight trade included ongoing buyer of +5,000 SFRZ3 95.00/95.50/96.00 put flys at 4.0 - adding to over 17,000 bought Wednesday. August expirys included a buy of +5,000 SFRQ2 96.50/96.62 put spds, 1.75.
  • Late long end Treasury option trade included a Block of 7,500 USU 137 puts, 107 vs. 140-04/0.27% around same time as 5,320 USU2 138 puts traded 1-25. On the flipside, paper traded 10,500 TYQ2 118.5 calls, mostly 11-12.
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With a few exceptions, option trade continued to center on downside puts even as chances of more aggressive rate hikes in the latter half of the year started to fade.

  • Tsys held near session highs after initially selling off after the ECB hiked 50bp. Brief post-ECB hike sell-off in Tsys say 30YY hit 3.2035% high. Tsys bounced on weak US data soon after: weekly jobless claims higher than expected at 251k vs. 240k, continuing claims 1.384M vs. 1.340M est, sharp miss on Philly Fed Mfg index at -12.3 vs. 0.8 est.
  • Highlight trade included ongoing buyer of +5,000 SFRZ3 95.00/95.50/96.00 put flys at 4.0 - adding to over 17,000 bought Wednesday. August expirys included a buy of +5,000 SFRQ2 96.50/96.62 put spds, 1.75.
  • Late long end Treasury option trade included a Block of 7,500 USU 137 puts, 107 vs. 140-04/0.27% around same time as 5,320 USU2 138 puts traded 1-25. On the flipside, paper traded 10,500 TYQ2 118.5 calls, mostly 11-12.