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Eurodollar/Treasury Option Roundup

US TSYS

Mixed option trade noted Thursday -- positioning ahead Friday's March jobs report (+490k est), some decent upside Treasury call buying more notable than the earlier two-way as underlying futures climbed back to last week Wednesday's early highs.

  • Highlight trades included a scale buyer of over 21,000 TYK 123.25 calls from 48-42, and 10,000 TYM 125 calls from 33-29. In 5Y calls, paper bought 10,000 FVK 115.5 calls from 17.5-18.5 overnight.
  • Eurodollar options saw better two-way put trade positioning/unwinds as underlying futures continued to scale back from more aggressive (read several 50bp) rate hikes by year end. Two- and three-year midcurve put condors of note included sale of -5,000 short Dec 96.62/96.87/97.12/97.37 put condors with
  • -5,000 Green Dec 96.75/97.00/97.25/97.50 put condors, 8.5 total credit on the double sale package. Of note, paper bought 6,000 Green Dec 95.50/96.00/96.50/97.00 put condors at 10.0 vs. 97.28/0.08% overnight.
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