Eurodollar/Tsy Option Roundup

Hawkish one-two punch messaging from Fed Gov Brainard and KC Fed George this morning weighed heavily on underlying rate futures, spurring pick up in low delta puts and structured put spreads as futures priced in rate hikes out the curve (belly underperformed).

• Slower to pick up compared to Treasury options, Eurodollar option volumes surged in the second half. Salient trade: ongoing bid for short May limited downside put fly -- looking for Red Jun'22 underlying to price in more rate hikes from current level of 96.56 -- targeting 96.06: +20,000 short May 95.93/96.06/96.31 put flys, 4.0 ref 96.56.
• Late Blocks: total 30,000 Jun 97.75/97.87/98.187 put trees vs. 98.31/98.50 2x1 put spd, 2.0-2.5 net credit package.
• Treasury options saw better put buying in 5s and 10s including weekly midcurves in the latter: +10,000 wk2 TY 120.5/121 put spds, 9, 5,000 wk2 TY 120/120.75 put spds, 9 and 9,000 TYK 120/120.5 put spds, 9.