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Eurodollar/Tsy Options Roundup

US TSYS

Put volume remained heavy Wednesday, pausing briefly in the post March FOMC minutes whipsaw trade as markets grapple with pricing in prospect of more aggressive policy if inflation persists (CPI +7.9% March YoY while the Fed's preferred PCE measure +6.4% in Feb YoY). 30YY currently 2.6412% +.0683.

  • Fed funds futures priced in appr 85% chance of 50bp hike in May while lead Jun quarterly Eurodollar futures now -0.050 at 98.34.
  • Highlight trade, Block sale of -40,000 Sep 96.62/97.12/97.75/98.00 put condors crossed 8.5 -- likely a roll-down in strikes. Conditional bear curve steepeners noted: selling Aug 97.31/97.62 put spds vs. short Jun 95.93/96.37 put spds followed by sale of May 98.25/98.37 put spds 0.5 over Green Jun 96.50/96.62 put spds.
  • Couple of notable SOFR option blocks included a buy of 5,000 short Apr SOFR 96.62/96.87 put spds w/ short Dec 96.00/96.50 put spds, 21.0 total db. Counter to the bear steepeners in Eurodollar options, another Block had 16,721 short Apr SOFR 96.87/short May 97.12 call spds trade 0.0 net, May said to be bought over.
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