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Eurodollar/Treasury Option Roundup, Calls Surge as Curves Dis-Invert

US TSYS

FI call option volumes surged early Thursday as underlying rates (particularly the short end) rebounded from Wednesday's post-FOMC sell-off. Markets continued to digest the Fed's forward guidance -- deemed less hawkish as initially thought with short end Eurodollar futures (EDM2) climbing +0.085 by the close to 98.565.

  • Tsys holding mixed levels after the close, yield curves steeper with bonds trading weaker through the second half, finishing near lows. Note: 5s30s inverted (recession flag) first time since first time since 2007 yesterday (-1.823 low) finished Thu +2.668 at 2.447; 5s30s bounced 4.267 to 31.280.
  • Trade highlights listed below included a buy of 12,000 Jun 98.62/98.75/98.81/99.06 broken call condors at 1.0, and a Block/cross of +19,900 Dec 98.75/99.00 call spds, 2.5 vs. 97.77/0.05. Targeting a rebound in mid-2025 sector, paper bought 8,000 Blue Jun 98.50/99.00 call spds, 1.5.
  • Treasury options saw varied buying in June and May 10Y calls through the day with paper buying 15,000 TYK 126.5 calls at 19 vs. 124-21/0.22% and 10,000 TYK 126 calls, 27 coming into the session.
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