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Eurodollar/Tsy Option Roundup, Rate Hike Insurance Buying

Tsys futures rebounding as bonds appear to be discounting the inflation data, short end anchored as additional three 50bp rate hikes gets baked in. Nevertheless, analysts anticipate inflation softening in the coming months.
  • Yield curves bear - then bull-flattened on the day amid surge in rate hike hedging via various outright put buying and spread trade.
  • Salient Eurodollar option trade includes buy of +5,000 Dec 96.00/96.25/96.50 put flys, 2.25, block buy of 6,000 Green Sep 96.25/96.62 3x2 put spds, 7 net, and block buy of +10,000 short Dec 98.50 puts, 12.5 vs. 96.66/0.16%. Large vol buy +10,000 Jun 98.12 straddles, 11.0 vs. 98.155/0.18% blocked.
  • Treasury option highlight trade included block of 10,000 TYM 115.5/117.5 3x2 put spds, 26 net vs. 4,200 TYM2 at 118-18 and over +18,000 wk2 TY 118.5/119 put spds, 7 vs. 119-09.5/0.20%.
  • Early reminder, June Treasury options expire a week from Friday, on May 20. Meanwhile, June futures first notice date approaching: Tuesday, May 31, with staggered futures expiration in latter half of June (10s, Ultra-10s and 30s on Jun 21; 2s and 5s on June 30).

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