options

For 5 days in a row under 1 million Eurodollar options contracts have traded.
With the excitement of NIRP subsiding, STIR futures and options are seeing a marked slowdown.
Volatility edged up slightly yesterday then turned lower today after a big straddle seller dragged the rest of the curve lower. Attention continues to be on the 100.00 strike and higher as NIRP questions loom large.
After a slow start to the week, there were large trades across many Eurodollar options expirations, a welcome development
A back and forth session with futures ending mostly lower. Most traders are looking ahead to tomorrow’s NFP number with particular interest after Wednesday’s surprising ADP number. In fact, according to Arbor Data Science, “ADP has printed above 270K only 14 times since 2003.
Overall Eurodollar options volume has been lower over the last couple of days as most attention was focused on the oil market.
The focus again has been the front end of the curve for option strategies, but we finally saw some flow in the further out contracts and with differing perspectives. We can only assume that the focus of trading has been on Libor.
Volumes improved across the curve as the markets digested a variety of economic indicators.
Trading got off to a slow start on Monday as volumes were low coming off of the extended Easter weekend. Liquidations were the story in Eurodollar futures as focus remained on the front end of the curve.
Here are the Interest Rate options trades we are monitoring today.