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Early Eurodollar/SOFR/Treasury Option Roundup

US TSYS
  • SOFR Options:
    • -5,000 SFRZ2 97.25/97.50/97.75 call flys, 0.5 ref 96.44
    • Block, 5,000 SFRZ2 96.37/96.62/96.75/97.00 put condors, 5.5
    • 3,000 SFRH3 95.81/96.00/96.18 put flys
    • 21,400 short Aug SOFR 96.00 puts, 2.5 ref 96.595
  • Eurodollar Options:
    • 4,500 Green Sep 96.25 puts
    • +4,000 Blue Dec 97.62/97.87 put spds, 18.75 vs. 97.225/0.09% legged
  • Treasury Options:
    • 1,500 TYV 121/TYX 119 put diagonal calendar
    • Update, over 10,000 TYU 119 puts, 53-102
    • +5,000 TYV 113/114 put spds, 4 vs 118-05/0.05% adds to 10k Block
    • -10,000 wk1 FV 111/111.75 put spds, 17
    • 1,800 TYV 116/121 strangles, 43
    • 3,600 TYU 119 puts, 53 ref 118-15.5
    • Block, 10,000 TYV 113/114 put spds, 3
    • 9,400 TYU 117.5 puts, 11-12 ref 118-19.5 to -18
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