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Eurodollar/Treasury Option Roundup, Calls Buying Picks-Up

US TSYS

Wednesday's derivatives trade appeared mixed on moderate volumes. Early buyers of low delta calls and puts turned two way by midday as underlying FI futures reversed early losses, extended higher in second half. Call buying picked up midday, particular interest in 5Y calls with buy of 25,000 FVK 114.5 calls, at 32.5 vs. 114-019.5 on 0.45% delta.

  • Eurodollar futures gained after latest 3M LIBOR settle falls -0.03914 to 0.96686%, -0.01600 total on week now after climbing to 1.00600% Tuesday -- highest since April 2020, futures finishing near highs across the strip as market pricing in multiple rate hikes for 2022 cools (203bp from 220bp on Monday).
  • Salient mixed wing trade: included buyer of 15,000 short Jul 98.62/98.87 call spds, 3.0 vs. 96.85/0.06%.
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