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TYJ1 137.00/135.00 Risk Reversal Blocked, Familiar Regional Play

US TSY OPTIONS

Latest block trade lodged at 01:48:38 London; 20:48:38 NY:

  • TYJ1 137.00 calls 10.0K blocked at 0-22
  • TYJ1 135.00 puts 10.0K blocked at 0-21
  • Looks to be another case of buying the puts to sell the calls, this time via the TYJ1 137.00/135.00 risk reversal (contact flags a delta of 60%). 60K of TYJ1 risk reversals have now been blocked during Asia-Pac hours since the middle of last week, all look to be buying the puts to sell the calls.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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