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Early Eurodollar/SOFR/Treasury Option Roundup, Call Buying Emerges

US TSYS
Aside from ongoing two-way put positioning/consolidation, FI options seeing pick up in upside call buying (mostly Tsy and SOFR options targeting Nov-Dec expirys) as short end pricing in chance of 100bp hike next week cools (from just over 35% early Wed to under 25% at the moment). Prospect of "higher for longer" keeping pressure on underlying futures through mid-2023.
  • SOFR Options:
    • 5,000 SFRZ 95.00/95.50/96.00 put flys
    • +1,000 SFRH3 95.62 straddles, 65.0
    • Block, 2,000 SFRV 95.81/95.87/95.93/96.00 call condors, 1.0
    • 13,000 SFRZ 96.00/96.25 call spds
    • Block, 5,000 SFRV 95.56/95.68 put spds 2.0 over 95.93/96.06 call spds
    • Block/screen, total 2,500 SFRV2 95.81/96.00/96.18 put flys, 2.75
    • 2,000 short Dec 95.50/95.75 put spds vs 96.37/96.50 call spds
  • Eurodollar Options:
    • 2,000 Dec 96.00/96.50 call spds
  • Treasury Options:
    • total 23,250 TYX 118 calls, 11-12
    • +3,500 TYX 120.5 calls, 3
    • 2,000 FVX 108 puts vs. FVZ 107.5/108.5 put spds
    • Block, +10,000 TYV 113.5/114.25 put spds, 14
    • Block, -7,500 TYV 116/117 put spds, 56
    • 7,000 TYV 115.75/116.75 call spds
    • FVX 108/108.5/109 put flys
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