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Eurodollar/Tsy Option Roundup

US TSYS

Implieds inched lower on a mix of two-way positioning Wednesday, active FI accounts squaring up ahead Thursday's early close and extended Easter Holiday weekend.

  • Block/crosses drove Eurodollar option volumes with buyer of 40,000 Green Dec 97.62/97.87 call spds, 7 after 17,580 short Sep 97.62 puts (deep in the money) blocked at 97.50.
  • Net short vol put tree buyer picked up 8,500 Dec 96.87/97.00/97.50 put trees at even vs. 97.185/0.15%.
  • Treasury option trade included potential error unwind with paper selling 20,000 FVM 112.5 puts from 20 down to 16 after a block buy of 10,000 at 21.5 ahead the NY open.
  • Other highlight, likely consolidation trade included a sale of 15,000 TYM 121/123 1x2 call spds, 23-24 ref 121-01.

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