Bloomberg's Edward Bolingbroke was the first to highlight the massive ED trade by an unknown entity, who appears to be betting that the Fed's dovish stance will end with a bang not in June, as many analysts predict, but in August with Powell making the inevitable taper announcement at Jackson Hole, which will lead to a bloodbath across the curve and especially the short-end.

Why Jackson Hole?

Because last year, Powell unveiled a new policy framework for inflation, while in 2012 Ben Bernanke signaled more bond purchases were on the table.

Since we first noted it, there has been a burst in eurodollar options activity involving a position that will benefit from this potential ramp-up in taper rhetoric in August, and Nomura's Charlie McElligott notes that, ahead of tomorrow's much-anticipated payrolls print, there has been a dramatic increase in the 'eurodollar whale' position.