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Eurodollar/Tsy Option Roundup

US TSYS
Light volumes Thursday continued to rotate around downside (rate hike) puts. Limited flow, no LIBOR settles today and tomorrow w/ London banks out for Spring and Platinum Jubilee holidays, settles resume Monday. Meanwhile, lead quarterly EDM2 holding steady at 98.2325.
  • Moderating market repricing chances of additional rate hikes out the curve (odds of additional 50bp in Fall gaining).
  • Highlight Eurodollar trade in midcurves included Blue Jun 96.6296.75/96.87/97.00 put condors and 7,500 short Jun 96.37/96.62 put spds prior to the open. SOFR options included buy of 5,000 SFRU2 97.25/97.50 put spds.
  • Treasury options included 20,000 FVN 112 puts at 28.5 pre-open followed by light flurry of 10- and 30Y put spds.
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