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Futures/Options Roundup, Bonds Extend Session Highs

US TSYS
Tsy futures make new session/highs for the week last few minutes, TYH2 at 128-16 nearing Jan 13 high/20D EMA resistance at 128-27.
  • Heavy volumes (TYH2>1.2M) as risk-off tone gains momentum (Russia/Ukraine and China/S China Sea flashpoints). Aside from exogenous geopolitical risk-off support, underlying positioning is for tighter Fed policy: four .25bp quarterly rate hikes to start in March.
  • After some chunky Block buys in 2s and 5s earlier, stops triggered over last 45 minutes while trading desks report better leveraged$ acct selling in 10s and 30s, some option hedging in the mix ahead Feb serial expiration. Prop acct steepener unwinds in shorts to intermediates.
  • No corporate supply today, but hear reports of selling ahead next week's 2s, 5s and 7Y Tsy supply; Corp debt issuance expected to resume after $188.31B issued on Month so far.
  • Option trade appears more mixed with two-way puts and larger unwinds of tactical longs (-25k TYH 127 puts, 18-21 after heavy buying this week), large 5Y call sale/exit going short (total over 83,000 FVH 120 calls from 15-19).
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