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Eurodollar/Tsy Option Roundup

US TSYS

Option flow remained largely put-centric with a few exceptions Monday. Traders noted decent put selling on the day, unwinds/profit taking as Tsy curves continued to bear steepen (2s10s back to mid-march levels 28-29, well off -9.561 inversion from week ago) with bonds extended and held near late session lows by the bell.

  • Traders reported selling in 2- and 3Y midcurve put plays (-10,000 Blue Sep 96.87/97.37 put spds at 24.25, -5,000 Green May 96.37/96.62/96.87 put flys, 4.5 vs. 96.845) and intermediate to longer Treasury options (-5,000 TYM 120 puts at 126, -5,000 USM 138/142 put spds, 122).
  • Highlight upside skew play had paper buying 5,000 TYM 121.5/124 call spd w/122/124 call spds 32 over 117/118 put spds covered.
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