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Eurodollar/Treasury Option Roundup Tsy Call Skew Gaining

US TSYS
  • Much better Treasury call buying in 5s today:
    • +62,000 FVK 117.25 calls, 13.5
    • +3,500 TYM 130 calls, 9
  • Even so -- put skew holding flat to slightly bid:
    • TYK 126/123 risk reversal covered vs. 124-16: -1/0
    • FVK 117/115.5 risk reversal covered vs. 116-08: -0.5/0
  • Tsy Puts traded little richer in longer expirys, option desks say.
  • Eurodollar options, on the other hand saw pick-up in put buying on the day after hawkish policy comments from Fed Gov Waller, StL Fed Bullar and Richmond Fed Barkin weighed on Eurodollar Whites (EDM2-EDH3) -0.005-0.035. Highlight trade:
  • Blocks: put spd spds:
    • +20,000 Sep'22 97.62/98.00 put spds, 12.5 vs.
    • -10,000 Dec'22 97.75/98.00 put spds, 14.0 vs.
    • -10,000 Mar'23 97.50/97.75 put spds, 14.0
    • Block, 14,000 Dec 99.25/99.37 put spds, 0.5 vs. 97.635/0.05%

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