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Eurodollar/Treasury Options Roundup

US TSYS
Robust volumes in both Eurodollar and Treasury options Thursday, largely two-way with some accounts fading the early sell-off in underlying rates via put structure sales in Eurodollar options: via 2Y midcurve put spreads targeting a rebound in mid-2024 and late 2024.
  • Note: Uncertainty over pricing in forward policy (or confidence in Fed managing a soft landing): longer expirys continue to outperform. First price inversion: Red Jun'23 (97.050) vs. Red Sep'23 (97.055). Inversion flattens out in Blue Mar'26 through Golds (EDM6-EDH7) trading around 97.550.
  • Sources reported sale of 10,000 Green Jun 97.75/98.00 put spds, 20.5 ref 97.305 and -5,000 Green Dec 97.75/98.25 put spds, 35.5 vs. 97.375/0.15% ahead the NY open.
  • Better put structure buying emerged ahead midday: buying over +5,000 Sep 97.00/97.37/97.75 put flys, 6.5 ref 97.88, 5,000 Dec 97.00/97.25/97.50 put flys, 3.0 and Dec 97.00/98.00 put over risk reversals, 3.5.
  • Treasury options saw better two-way in 5Y puts, salient early trade included +10,000 FVK 114.5 puts, 31.5-36.0 and -7,500 FVK 114.75/115.75 put spds, 33.0-32.5.
  • Large 5Y call buying picked up late: Block buy of +30,000 FVK 116.25 calls, 16 vs. 114-30.5/0.22% after paper bought 10,000 FVK 117.5 calls, 4-3.5.
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