Free Trial

Eurodollar/Tsy Option Roundup

US TSYS
Carry-over call buying in Treasury options from the week opener noted Tuesday, while Eurodollar option trade turned mixed and SOFR options added to limited downside put structures after paper bought 7,500 SFRU2 97.37/97.43/97.56/97.62 put condors, 1.75 ref: 97.66 (adds to +16k Mon at 1.75-2.0).
  • Early Eurodollar put trade: +12,000 Dec 96.75/97.00 put spds 0.5-0.75 over Green Dec 96.25 puts, faded as weaker economic data (miss for April new home sales (591k, -16.6% MoM vs. 794k exp, Richmond Fed slowdown). Resulting rally as rate hike pricing in the second half of 2022 cooled saw modest pick-up in upside call buying: +10,000 Sep 97.5/98.37 call spds, 14.5 vs. 97.45/0.40%, small buying Dec 98.00 calls at 6.5.
  • Treasury option highlight trade included a buy of 5,000 TYN 117/121 call over risk reversals at 13.0. Late vol seller via 4,000 TYN 118.5/121.5 strangles at 53.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.