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UPDATE: Massive 10Y Put Condor Buy, Rate Hedge

US TSY OPTIONS
  • Just over +100,000 TYH3 110.5/111.5/112.5/113.5 put condors 11 vs. 113-31.5 to 114-01.5/0.05%, misc trades in individual strikes pushing volumes slightly higher.
  • Current 10YY at 3.5552% w/ TYH3 futures trading 114-00, a rise in yields to put the structure in-the-money is within the realm of possibility given 10YY topped 4.2% in early November.
  • To see TYH3 futures trade down/between 112.5 - 111.5, 10YY would need to climb to appr 3.786% to 3.940% for the condor to go in-the-money.
  • March Tsy options expire on Feb 24, well after the first FOMC for 2023 on Feb 1

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