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Eurodollar/Tsy Option Roundup

US TSYS
Minimal option volume still centered on downside puts, hedge/insurance vs. more aggressive rate hikes despite underlying futures moderating forward expectations after last Fri's strong jobs gain for Jun (+372) saw 10YY climb back to 3.099%.
  • Highlight Eurodollar trade includes +25,000 (20k Blocked) ec 96.00/96.50 put spreads at 27.0 ref 96.23. Salient Treasury option trade had paper selling 22,000 TYU 115.5/121.5 call over risk reversals from 0.0-1.0 while 5Y options included a scale buyer of over 25,000 FVU 111.5 puts from 50-53. Lone upside call trade: 39,000 TYU 119/121 call spreads at 35 ref 117-27 to -27.5.

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