Late Eurodollar/SOFR/Tsy Option Roundup

Outsized put spread trade early Thursday evaporated by late morning as underlying futures in the short end gapped higher as hawkish rate hike expectations cooled suddenly.

• Tamping down on mkt pricing in chance of 100bps hike at the end of the month following Wed's "major league" CPI, short end Fed funds and Eurodollar futures gapped higher after Fed Gov Waller commented that he supports another 75-basis point increase at the July 26-27 FOMC meeting, bringing the fed funds rate to 2.25% - 2.5%. Waller judged that level is close to neutral," he said. "I think that estimates of the real federal funds rate should be based on the expected policy rate one to one and a half years in the future."
• Some early highlight Eurodollar trade included a buy of 6,200 Sep 95.87/96.12/97.25/97.50 put condors and 21,300 Sep 96.75/Mar 96.12 put calendar spds. Treasury Options more mixed with two-way in 5Y puts: -9,000 FVQ 111.25/111.5 put spds, 6.5 after overnight Blocks: 10,000 FVU 111/111.25 put spds, 5.5 and 12,500 FVU 111.25 puts, 43.5 vs. 111-30.75/0.40%.