FI option trade turned mixed Thursday, overall volumes light with one exception -- not particularly unusual for thin summer participation. Largest trade in some time: 100,000 SFRN2 96.12/96.25 conversion spd/box trade on screen, 12.5 net ref: 96.975-.99 -- new position, no open interest. One option desk said trade "just so mkt makers can hit rebate levels before month end," citing traders.
- Limited trade appeared bearish on the surface with accounts either fading the continued underlying (that saw 30YY fall to 3.1438% low) or taking profits/rolling strikes. Salient trade included a buy of 6,300 Eurodollar short Jun 96.62/96.75/97.00 call trees after a sale of 4,000 Blue Sep 97.00 straddles, 58.0-57.5. Treasury 5Y call skew sale had paper selling -8,000 FVQ 111/112.75 call spds 40.5 over FVQ 110 puts .