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Eurodollar/Tsy Option Roundup

US TSYS

Mixed Two-way trade Tuesday, early position building followed by some chunky consolidation as underlying futures reversed early losses. Yield curves bull steepened vs bear steepening for a change -- as underlying futures extended early session highs after March CPI, MoM 1.2% in-line w/est., 8.5% YoY edges past 8.4% est. Core YoY 6.5% slightly weaker than est, used car prices cited.

  • Traders reported modest put flow in the lead-up to CPI: a Block of 5,000 May 98.31 puts, 7.0 ref 98.31, 7,000 short Apr 96.75/96.87 put spds, and 4,000 Green Jul 96.25/96.62 put spds vs. Gold Jul 96.50/96.87 put spds on screen.
  • Better Treasury volumes via Blocks in 5s and 10s: +20,000 TYK 119.75/TYM 118.5 put spds, 6 ref 119-17 more on screen, +10,000 TYK 119.5/TYM 118.5 put spds, 3 ref 119-12, +20,000 FVK 12.25/113 put spds, 6.5 ref 112-29.
  • Two-way call trade picked up as underlying futures held early gains into the second half. Late Eurodollar Blocks: +15,440 Green Jun'24 97.50 calls, 61.0 at 1452:57ET after +17,593 Red Mar'24 97.50 calls, 56.0 at 1450:36ET.
  • Treasury 5Y calls saw better selling with 30,000 FVK 115.5 calls at 1 after paper sold 15,000 FVM 114/114.5 call spds, 11-12.5.
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