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Early Eurodollar/SOFR/Treasury Options, Higher For Longer Hedging

US TSYS
Better put volumes on net as underlying futures start September on the back foot, yields surging back to mid-June levels w/ 30YY at 3.3985 high.
  • SOFR Options:
    • +1,000 SFRH3 95.50/95.75/96.00 put flys, 3.5
    • +6,000 SFRZ3 95.25/95.75/96.25 put flys, 6.0 vs. 96.46/0.05%
    • Block, 2,000 short Dec 95.75/96.00 put spds, 5.5 vs. 96.505/0.10%
    • 2,100 SFRZ2 96.18/96.31/96.43/96.56 put condors
  • Eurodollar Options:
    • 2,000 Jun 94.50/95.00 2x1 put spds
  • Treasury Options:
    • 2,500 TYV 117 puts at 137 vs. TYZ 113.5 puts 51 ref 115-30
    • 7,500 TYV 113/114 put spds, 10-12 ref 116-05.5 to 115-31
    • 1,800 FVV 112/112.5 call spds, 6.5 ref 110-10
    • 7,500 TYV 113.5/118.5 put spds, 150 ref 116-10
    • 2,000 TYV 117/118 1x2 call spds
    • 5,000 TYX 118/120 call spds ref 116-15
    • -3,000 TYV 116/116.5 put spds , 9 over TYV 118/118.5 call spds, 4 ref 116-05.5
    • 1,000 USV 130/138 strangles, 105
    • 2,500 FVX 112/114 call spds ref 110-20
    • 10,000 TYZ 124 calls, 9 ref 116-13
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