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US Treasury/Eurodollar Option Roundup

OPTIONS

Overall option volumes rather muted on the day -- even as lead quarterly extended new low for the year (EDH2 -0.130 to 99.15) -- perhaps a little too aggressively pricing in chance of 50bp liftoff at March 16 FOMC.

  • Carry-over from Thu and overnight trade in lead quarterly Mar Eurodlr futures/3M LIBOR jump (+0.02700 to 0.61014% (+0.08714/wk) as traders look for extension of FRA/OIS widening to June -- possible link to increased funding concerns tied to Russia risk exposure for global banks.
  • Meanwhile, Chicago Fed Pres Evans said on CNBC this morning -- the strong jobs data "DOESN'T REALLY CHANGE ANYTHING THAT FED CHAIR POWELL IS POSITIONING FOR" -- where Powell said 25bp hike appeared appropriate at Thu's Senate testimony. Fed enters media blackout at midnight Friday through March 17, day after the FOMC announcement.
  • Salient Eurodollar option trade included scale buyer 10,000 Green Jun 97.50/97.75 put spds and over20,000 Mar 99.06 puts, 4.0.
  • Treasury options saw scale buyer over 32,000 TYJ 126 puts on wide range of prices: 12-24.
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