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Eurodollar/Tsy Option Roundup

US TSYS
Short-term tactical plays via OTM calls on Tuesday market direction made the right call Monday with underlying rates bouncing off four week lows, 10Y Tsy ylds back below 3% at 2.9644% vs. 3.0621% overnight high.
  • No specific driver for the reversal, trading desks said, though there are "big short positions per JPM survey .. while we usually rally through supply," on added, citing Tsy coupon auctions that start w/ $44B 3Y notes today. "Today is a buy everything day," another quipped as stocks bounce (ESM2 +21.0 at 4141.5; Gold +12.30 at 1853.73; WTI crude +1.15 at 119.65.
  • Carry-over call trade included 10,000 Sep Eurodollar 97.75/98.00/98.12 broken call flys and Sep 98.00 calls outright at 1.25. Volume drivers were blocked/crossed, however with 16,655 each Sep 98.00, Dec 97.50 and 98.00 call over conversions (vs. futures on 100% delta) at .25, 0.5 and 1.0 net respectively.

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