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Early Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Mixed overnight-early NY trade includes fair amount of upside call buying from specs looking to fade the continued selling in underlying vs. pick-up in put and vol buyers amid chatter of BOE emergency rate hike after the CB hiked 50bp last Thu.
  • SOFR Options:
    • Block, 10,000 SFRV 95.43/95.56 put spds, 4.0
    • +8,000 short Mar 97.50/98.00 call spds, 2.75 ref 95.795
    • 3,500 SFRZ2 96.37/96.50/96.62/96.75 put condors
    • Block, 2,000 short Dec 96.75/96.87 call spds, 1.0 vs. 95.55/0.05%
    • Block, 3,000 short Oct 96.25/96.75 call spds, 1.5 vs. 95.57/0.05%
  • Eurodollar Options:
    • 8,500 Dec 94.68/95.12 1.5x1 put spds
    • 3,000 short Oct 95.00/95.50 put spds
    • 2,000 Dec 95.56 calls
  • Treasury Options:
    • +6,000 TYX 110/114 strangles, 59 (adds to 10k block at 58)
    • 7,000 FVZ2 110 calls, 15.5
    • Block, 10,000 TYZ2 120 calls, 6 ref 111-30
    • 5,000 TYZ2 117.5 calls, 15 ref 111-29.5
    • 5,000 TYZ2 118 calls, 13 ref: 111-29.5
    • 1,750 FVX2 105.5 puts, 17
    • 4,000 FVX 106.5 puts, 32 ref 107-05.75
    • Block, 5,000 TYX 114 calls, 31
    • Block, 10,000 FVX2 106.75/108.25 2x1 put spds, 12
    • Block, 5,000 FVX 106.5 puts, 34
    • Block, 5,000 TYX2 110 puts, 31
    • Block, 10,000 TYX2 110/114 strangles, 58

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