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USDCAD TECHS

Impulsive Rally Extends

US TSYS

Late Eurodollar/SOFR/Treasury Option Roundup

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Price Is Below The 50-Day EMA

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Late Eurodollar/SOFR/Tsy Option Roundup

US TSYS
Difficult to draw any strong conclusions from the limited FI option volume trade Friday. Limited trade appeared to be focus on unwinding downside (higher Tsy yield) puts as underlying futures, particularly in the short end traded higher as more aggressive rate hike pricing evaporates.
  • Highlight Tsy option trade included a sale of 20,000 TYU 115.5/121.5 put over risk reversals from 2-3, and scale seller of over 10,000 FVQ 112 puts from 28.5-22.0.
  • Meanwhile a large Sep SOFR Put Fly strip package Block crossed midmorning: 10,000 SFRU2 96.62/96.81/97.00 put flys, 5 w/ 10,000 SFRU2 96.68/96.87/97.06 put flys, 4 w/ 10,000 SFRU2 96.75/96.93/97.12 put flys, 4.
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Difficult to draw any strong conclusions from the limited FI option volume trade Friday. Limited trade appeared to be focus on unwinding downside (higher Tsy yield) puts as underlying futures, particularly in the short end traded higher as more aggressive rate hike pricing evaporates.
  • Highlight Tsy option trade included a sale of 20,000 TYU 115.5/121.5 put over risk reversals from 2-3, and scale seller of over 10,000 FVQ 112 puts from 28.5-22.0.
  • Meanwhile a large Sep SOFR Put Fly strip package Block crossed midmorning: 10,000 SFRU2 96.62/96.81/97.00 put flys, 5 w/ 10,000 SFRU2 96.68/96.87/97.06 put flys, 4 w/ 10,000 SFRU2 96.75/96.93/97.12 put flys, 4.