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Eurodollar/Tsy Option Roundup, Carry-Over 10Y Put Skew Bid

US TSYS
FI option volumes were not overwhelming Wednesday, but fairly consistent with better buying of low delta puts and put structures, particularly in 10Y Treasury options as the burgeoning bid in rates that saw 30YY fall to 2.819% overnight evaporates.
  • Curve steepening had already been underway prior to the mildly weak 5Y auction (2.785% high yld vs. 2.777 WI) as support for bonds ebbed into midday, put buyers looking for the primary downtrend to continue.
  • Highlight trade included buying 5,000 TYM 119.5/120 put spds, 10, total near 20,000 TYM 117/121 call over risk reversals for 31 cr, and +6,000 TYM 118.5/120 put spds 0.0 over TYM 121.5 calls ref 120-07.5

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