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Eurodollar/Tsy Option Roundup, Mixed Wing Positioning Ahead FOMC

US TSYS
FI options trade turned mixed Monday, two-way positioning in calls and puts, outright and on spread as underlying FI futures traded broadly weaker (except for bid in Jun'22 and Sep'22 Eurodollar futures).
  • London and Asia extended spring holiday weekend exacerbated thin markets and sidelined accts ahead Wed's FOMC policy annc had TYM2 nearing key resistance of 118-02+ 0.618% Fibonacci projection of the Mar 7 - 28 - 31 price swing. Yield curves at/near session highs as bonds lead sell-off, 10YY breach of 3.0% to 3.0003% highest level since Dec 2018, albeit amid modest overall volumes (TYM2 <875k).
  • Salient Eurodollar option trade included put skew buying: 5,000 Red Sep'23 96.25/97.37 put over risk reversals, 31.0, and strike roll-downs: -2,500 short Sep 96.00/96.25/96.75 put flys 2.75 over short Sep 95.75/96.00/96.50 put fly. Looking for a rebound ahead the FOMC paper bought +10,000 short Jun 97.50 calls 1.5 vs. 96.42/0.05%.
  • Treasury option highlights included late legged 5Y call calendar with sale of 28,000 FVM 116.5 calls, 1 followed a few minutes later with buy of 28,300 FVN 116.5 calls, 4.5. Put positioning, desks reported sale of -5,000 USM 132/134/136/138 put condors after -10,000 FVM 110.5/111 2x1 put spds, 1.5-1.
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