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Eurodollar/Tsy Option Roundup

US TSYS

Better overnight call trade, albeit on lighter volumes, evaporated around midmorning. Underlying rates weakened after block sales in 2s and 5s -- extended lows/risk-on following ECB Vasle headline that "negative rates may end by year end." Tsy 30YY climbed to 2.5013 high. Yield curves steepened off deeper inverted levels.

  • Looking for futures to continue to rebound off last Frida's rout, overnight call buying noted in Eurodollar May 98.25/98.31/98.43/98.56 call condors. Treasury options saw buyers of May 119/120 call spds and Jun 5Y 114.75 calls outright and 114.5/115.5 call spds.
  • Salient put trade as underlying futures sold off included limited downside put condors in Eurodollar midcurves:
    • +5,000 short Dec 95.25/95.50/95.87/96.12 put condors, 3.25
    • +5,000 short Dec 95.62/96.00/96.37 put flys, 3.75 vs. 96.87/0.02%
  • and Tsy 30Y options:
    • 5,000 USM 140/142/144/146 put condors

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