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Eurodollar/Tsy Option Roundup, Two-Way

US TSYS
Modest overall volumes Friday w/ London banks still out for Spring and Platinum Jubilee holidays. A few notable exceptions as underlying rate futures sold off following better than expected May jobs gain of +390k vs. +310k est.
  • Fed hike expectations gained slightly out the curve while 50bp hikes at each of the next two meeting remain a lock. Implied Fed hikes firm slightly for meetings later in the year after payrolls. The 143bp for Sep takes it back to yesterday highs whilst the 199bp to year-end nudges 1bp higher and closes on the post May FOMC high of 202bps.
  • After better put buying the last couple sessions, the salient Eurodollar option trade: buy of over 40,000 Aug 97.50 calls at 7.0 vs. 97.355-.35. In Treasury options, paper bought 20,000 TYN 122 calls at 4, while 5s saw buy of 20,000 FVN 112.5 puts from 36-38.
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