### POV: COVERING SHORTS AHEAD...>

US EURODLR OPTIONS: ### POV: COVERING SHORTS AHEAD OF SUMMER RATE CUT

- Covering upside risk/unwinding downside insurance an ongoing theme.

- Salient overnight Block: +100,000 Jul 81 calls from 1.5-1.75. Total volume in

call overnight at 106,425 w/open interest at 175,029 coming into the session.

- Call buying appears to be covering short leg of over 150,000 July 80/81 call

spds bought earlier in the month from 2.75 to 3.5.

- This follows Monday's ongoing sale of the Dec 71/72/73/75 put condors, an

unwind of appr 200k bought late March as acct starting to take off the position

while they can still extract some premium as chances of three rate cuts by year

end continues to rise.

- While July options expire on July 12 -- well ahead of the July 30-31 FOMC

meeting, the acct is taking the opportunity to cover the short ahead of what

many market pundits believe will be the first rate cut since December 16, 2008.

- MNI PINCH model estimates rate cut probability at the July 30-31 meeting at

93.3% (assuming no massive surprises from today's FOMC decision).