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Eurodollar/Tsy Option Roundup: Heavy Eurodollar Puts, Tsy Call Sales

US TSYS

Heavy put volume Monday on an unexpectedly active session with Tsy yields surging (30YY climbing to 2.5531% high) on the back of hawkish Fed chair Powell comments from NABE conf: in short willingness to make "more than 25bp" hikes at each meeting in order to keep inflation in check if needed.

  • Rather quiet start to the session on lighter volumes w/Japan out on extended holiday weekend, varied put buying accelerated around midday, finishing strong with large Eurodollar put condor blocks after the close as underlying futures priced in appr eight 25bps hikes (or combination of 50 and 25 bps hikes) by year end.
  • Salient Treasury option flow: large call sales as an opener: over 25,000 FVK 115.75 calls sold (open interest only 276 coming into the session) and -38,000 TYK 124 calls from 42-40 with open interest 1,499 coming into the session.
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