June 21, 2022 19:45 GMT
Eurodollar option trade centered on calls, mirroring EGB derivatives flow Tuesday as yields continued to climb (30YY tapped 3.3922% high) and curves bear steepened (2s10s +7.036 to 10.902 by the bell).
- Directionally, flows were mixed. Some faded the sell-off in underlying futures -- looking for a rebound (5,000 Sep 95.87/96.12/97.25/97.50 call condors, 19.5; 10,000 Jul 96.68/97.06 1x2 call spds, 5.5). While others were more repositioning: Block total +20,000 Sep 96.75/97.00/97.25 call trees, 2.5 vs. -20,000 Sep 97.25/97.56/97.75 at 1.0 -- appeared to be a position roll-down/adjust.
- Treasury option volumes centered around position squaring of July options that expire this Friday.