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### POV, POSITIONING FOR POTENTIAL...>

US TSY OPTIONS
US TSY OPTIONS: ### POV, POSITIONING FOR POTENTIAL RATE CUTS
- Aside from conditional bull curve steepeners via Eurodollar options (Whites
vs. Reds, Greens vs. Golds), Tsy options see continued interest in buying upside
call insurance
- Scale buyer on screen today of some 25,000 USG 146/149 call spds from 24- to
25/64 -- strikes correspond to 2.98% and 2.891% respectively (current 30YY is
3.134%), opener with open interest 3,079 and 1,993 respectively coming into the
session.
- Latest MNI PINCH spline-based model has market pricing in 100% of rater hike
at the Dec 19 FOMC, and only 6.7% of a hike at the January 30 FOMC. Significant
hike probability repricing through 2019: first move above 50% is at the June 19
FOMC (57.2%), high for the year at the September 18 FOMC (77.1%), then declines
to 67.7 in October and 55.4% at December 11 meet.

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