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Eurodollar/Treasury Option Roundup

US TSYS
Friday FI derivatives trade saw carry-over interest in buying upside calls, and modest positioning in long puts. Theme gaining momentum -- despite underlying futures pricing in six to seven 25bp hikes by year end -- is that increased market uncertainty due to Russia's war in Ukraine is likely to forestall more hikes down the road (after the Fed hikes next week).
  • Late examples in Treasury options: paper bought 25,000 TYJ 127.75 calls at 11 after the bell (ref: 125-31), followed by a Block buy of 32,000 TYJ 128 calls, at 10 ref 125-31.5 after paper bought 10,000 earlier in session at 9.
  • Eurodollar option highlights included Block buy of +15,000 short Jul 98.25 calls, 8.0 vs. 97.58/0.20%, and +10,100 short May 97.62 combos.
  • Large vol buyer picked up +20,000 (block) Dec 97.50/98.50 strangles, 46.5. In puts, paper +10,000 short Jun 97.50/97.75/98.00 put flys vs. Dec 97.12 puts.
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