### POV, UNWINDING THE FADE AND......>

US TSY FUTURES: ### POV, UNWINDING THE FADE AND TAKING LOSSES

- Deep background on day's modest put condor sale: -20k Dec 71/72/73/75 put

condors, 0.75, adds to sale of some 17.5k at 1.0 on June 7. Could be just tip of

the iceberg if macro fund decides to unwind fully. Back in late March the fund

were Heavy buyers, fading a rate rally that started to imply a 50bps rate cut by

year end (MNIs PINCH model at time had probability of 25bp cut at 122%).

- The acct bought over +200,000 Dec 71/72/73/75 put condors from 3.5-5.5 (others

+10k short Jul 81/83/86/88 put condors at 4.5; +20k Jul 76/77/78/80 put condors,

2.75; +60k short Dec 86/88 call spds, 3.5).

- Fast forward: current mkt pricing in chances of three 25bp cuts by yr end

w/carry over to 2020 amid persistent global growth concerns exacerbated by US

tariffs. Fading rate cuts does not look like a winning proposition. Acct

starting to take off the position while they can still extract some premium to

soften the blow.

- Upside call buy theme: Current trade favors buying Mar'20 90/92 call spds and

par calls in Reds (EDU0-EDM1).