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Early Eurodollar/SOFR/Treasury Option Roundup

US TSYS
  • SOFR Options:
    • 5,000 SFRH3 95.50/96.00 put spds 11.5
    • 7,500 SFRM3 95.75/96.25 put spds, 15.0
    • Block, 4,000 short Aug SOFR 97.25/98.00 call spds 14.0 over 95.75 puts
    • Block, 5,000 SFRH3 95.75/96.12 put spds, 11.0
    • -20,000 SFRZ2 97.00/97.25 call spds, 4.0-4.25
    • +5,000 SFRU2 97.00/97..06/97.12 call flys 0.5, add to +40k late Tue
  • Eurodollar Options:
    • +5,000 short Oct 96.00/96.12 put spds, 2
    • +20,000 Nov 95.50/95.75 put spds, 4.5
  • Treasury Options:
    • 2,000 TYV 123/124 call spds, 8 ref 120-12.5
    • 3,800 FVU 112.5 puts, 21 ref 112-29.25
    • -15,000 TYU 119 puts, mostly 19-21
    • over 27,000 FVV 111.25 puts right on data release 29.5-31.5
    • 2,500 TYZ 123/124 call spds vs. 5,000 TYZ 114/116 put spds
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