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Eurodollar/Tsy Option Roundup, Eurodollar Whites Drop Late

US TSYS

FI derivatives saw moderate volume trade in wing options Tuesday, positioning ahead an expected 50bp rate hike from the FOMC on Wednesday.

  • Front end support in Eurodollar futures reversed in late trade, however, White pack (EDM2-EDH3) trading -0.005 in the lead quarterly to -0.050 across the balance of the strip. While market expectations of multiple 50bp hikes has expanded to 250bp by year end, the late reversal in the short end has some desks pondering a more aggressive forward guidance from the Fed may be revealed soon.
  • In the meantime, underlying rate futures rebounded from the week opener's broad based sell-off, curves bull flattening as long end rates outperformed.
  • Highlight Eurodollar option trade included a sale of Dec 97.00/97.50/98.00 put trees, one-leg over for net of 19.5. In 2Y midcurves calls, paper traded 11,900 Green Jun 97.00 calls, 8.5 ref 96.66 and 6,500 Green Jun 98.25/98.31/98.43 call trees.
  • Salient Treasury option trade included 12,250 TYM 119.5 calls, 34 after sale of 5,000 TYM 120.75/121.25 call spds, 1. In 5Y options, paper bought 10,000 FVM 110.5/111.5 put spds, 14.5-14.0 ahead the NY open.
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