US TSYS: Eurodollar/Treasury Option Roundup, Mixed Interest
Overall option volumes were rather muted for the second consecutive session as underlying rates traded broadly weaker but on a narrow range since midmorning.
Trade proved mixed with a couple salient trades of note.
- Eurodollar put tree block seller -- net long vol package:
- -30,000 Dec 97.00/97.50/98.00 put trees, 1.5-2.0 (one-leg over) adds to 25k sold Monday at 1.0.
- Package likely rolling down strikes with 98.00 open interest dropping 10k on 32k total volume, 97.00 and 97.50 put OI up 13k and 14k respectively. Otherwise, accounts remain long a wide array of low-delta rate hike insurance puts across multiple expirations from short term through mid-2023.
- -30,000 Dec 97.00/97.50/98.00 put trees, 1.5-2.0 (one-leg over) adds to 25k sold Monday at 1.0.
- Treasury Options, 10Y Call buyer fading the sell-off in underlying futures:
- +30,000 TYJ 130 calls, 18 adding to appr 46k on screen, open interest over 107k coming into the session
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
USDCAD TECHS: Remains Above Support
- RES 4: 1.2964 High Dec 20 and a key resistance
- RES 3: 1.2924 High Dec 22
- RES 2: 1.2843 76.4% retracement of the Dec 20 - Jan 19 sell-off
- RES 1: 1.2797/2814 High Jan 28 / High Jan 6 and a key resistance
- PRICE: 1.2781 @ 16:10 GMT Feb 4
- SUP 1: 1.2650 Low Jan 27/Feb 2
- SUP 2: 1.2560 Low Jan 26
- SUP 3: 1.2451/48 Low Jan 19 / 76.4% of the Oct - Dec rally
- SUP 4: 1.2387 Low Nov 10
The USDCAD outlook remains bullish and Friday’s gains reinforce this theme, suggesting the recent corrective pullback is over. A positive theme follows the recovery from 1.2451, Jan 19 low. Price has traded above the 50-day EMA and the break has resulted in a move through 1.2768, 61.8% of the Dec 20 - Jan 19 sell-off. This has opened 1.2843, the 76.4% value. Initial firm support lies at 1.2560, Jan 26 low. First support is at 1.2650, Jan 27 and Feb 2 low.
US TSY FUTURES: BLOCK, 5Y Sale
- -5,000 FVH 118-11.75, through 118-12 post-time bid at 1538:28ET
US TSY OPTIONS: Large Post-Close
10Y Ratio Put spd/spd at 1517:25ET:
- -4,616 TYH 127/128.5 put spds vs. TYJ 124/126 put spds on a 4x5 ratio, 2-59 net cr
