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Scale 10Y Vol Selling

US TSY OPTIONS
Gradual risk-off reversal overnight and relative range trade near early session lows is emboldening vol sellers:
  • -5,000 TYJ 125.5/128.5 strangles, 50-48
  • Salient trades from overnight-earlier session:
  • -5,000 TYJ 127/128 call spds, 24 ref: 12-22
  • +4,500 TYJ 124/124.5 put spds, 4 ref 127-04.5
  • Block, 4,000 USJ 160 calls, 33 vs. USM2 at 155-03/0.19%
  • Block, 10,000 FVJ 117.25 puts, 27
  • Blocks, total 15,000 FVJ 118.25 calls, 30.5-32

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