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Eurodollar/Tsy Option Roundup

US TSYS

Overall FI option volumes remained muted Friday while the theme of better put trade continued as underlying rate futures traded back near early week levels, curves flatter (but off lows) amid heavy selling in the short end.

  • Despite weaker economic data this week, STIR futures are pricing in 200Bp of rate hikes over the next four meetings.
  • Not a lot of new put positions being created, late week trade more tied to repositioning strikes via condor sales, or profit taking/position squaring ahead the weekend.
  • Some examples: block sale of 10,000 Jun 98.00/98.12/98.25/98.37 put condors, 7.0; in 30Y bond options, paper sold over -7,700 USM 132/134/136/138 put condors, 21-17. Large 5Y call spread unwind: 35,000 FVM 113.5/114 call spds, 8.5.
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Overall FI option volumes remained muted Friday while the theme of better put trade continued as underlying rate futures traded back near early week levels, curves flatter (but off lows) amid heavy selling in the short end.

  • Despite weaker economic data this week, STIR futures are pricing in 200Bp of rate hikes over the next four meetings.
  • Not a lot of new put positions being created, late week trade more tied to repositioning strikes via condor sales, or profit taking/position squaring ahead the weekend.
  • Some examples: block sale of 10,000 Jun 98.00/98.12/98.25/98.37 put condors, 7.0; in 30Y bond options, paper sold over -7,700 USM 132/134/136/138 put condors, 21-17. Large 5Y call spread unwind: 35,000 FVM 113.5/114 call spds, 8.5.