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Early Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Chunky limited downside SOFR put fly buyer targeting 96.00 by year end, SFRZ2 currently trading 96.385 (+0.030)
  • SOFR Options:
    • +40,000 SFRZ2 95.50/96.00/96.50 put flys, 8.5
    • 3,000 short Sep SOFR 96.12/96.37/96.62 put flys
    • 2,000 SFRM3 99.50 puts 11.5
    • Block, 2,700 SFRM3 94.00 puts, 4.0
  • Eurodollar Options:
    • 2,500 Dec 96.25 calls, 13.5
  • Treasury Options:
    • 2,500 FVZ 112 calls
    • 3,000 TYV 117/117.5 put spds 13 over TYV 119/119.5 call spds
    • 5,000 TYV 113/114 put spds, 4 ref 117-08
    • 3,000 FVV 109.75/111 put spds
    • +2,000 USU 135 puts, 12
    • 2,500 TYU 117.25/117.75 1x2 call spds

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