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Eurodollar/Tsy Option Roundup, Better Eurodollar Call Buying

US TSYS
Mixed FI option trade Thursday as SOFR and Eurodollar options focused on upside calls as underlying futures in the short end outperformed as rate hike pricing through the fall moderated (chance of 50bp hike in Sep well below 50%). Treasury options focused on puts while trade volumes evaporated as longer rates traded weaker ahead midday.
  • Conditional curve trade included a sale of 20,000 short Jun 97.25 calls vs. Blue Jun 97.62 calls, 1.0 net bull flattener as paper faded the steeper curves on the day. Salient call trade included 8,500 Jun 98.25/98.31 call spds, 5,000 short Aug 96.50/97.00 call spds, 12.5 and 6,000 Blue Sep 98.25 calls.
  • SOFR option Block trade had paper buying 1,500 SFRU2 97.43/97.56/97.68/97.93 call condors, 0.5 belly over.
  • Salient Treasury options included +5,000 wk2 FV 111.75/112.25 put spds, 3.5 and 13,000 TYN 116/117 put spds.
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