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Eurodollar/Tsy Option Roundup

US TSYS

US FI option trade continued to focus on downside puts Thursday as underlying rate futures traded mixed. Tsy yield curves continued to march off early week inverted lows, 2s and 5s outperforming weaker 10s-30s day after the March FOMC minute outlined factors for coming balance sheet drawdown (as early as May) and willingness to hike 50bp if needed to get inflation under control.

  • Overall volumes were rather muted, however, with a few exceptions. September Eurodollar options saw carry over interest after Block sale of -40,000 Sep 96.62/97.12/97.75/98.00 put condors crossed 8.5 on Wednesday.
  • In the current session, 40,000 Sep 96.75/97.00 put spds were blocked at 2.75 after a scale seller of -15,000 Sep 97.00/97.50/98.00/98.50 iron condors from 23.0-22.5 ref 97.68. In Treasury options, paper bought over 25,000 wk3 TY 118.5 puts at 4.

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