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Eurodollar/Treasury Option Roundup

US TSYS

Treasury option volume surged Wednesday, primarily bullish plays in 5- and 10Y options with a combination of tactical/directional trades (5- and 10Y Calls) and unwinds (5Y put sales) looking for underlying futures to pare back some of the week's sell-off.

  • Salient trade included scale buy of over 30,000 FVK 116/117.25 1x2 call spreads from 8.0 to 9.5 and block buy of 10,000 wk1 TY 122.75/123.25/123.75 call flys, 5 vs. 122-31/.05%.
  • Eurodollar option volume, lacking all session, surged in late trade with 280,000 condor roll package: +35,000 Dec 97.12/97.37/97.62/97.87 put condors vs. -35,000 Dec 97.50/97.75/98.00/98.25, 1.5 net db. Earlier in the session, paper did buy some Blue June 98.50/99.00 call spds at 1.25.
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