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Early Eurodollar/SOFR/Tsy Option Roundup

US TSYS
  • SOFR Options:
    • 40,000 SFRZ2 97.25/97.50/97.75 call flys
    • Block, 2,000 SOFR short Aug 96.12/96.25/96.50 broken out flys, 2.0
    • Block, 1,500 SFRQ2 97.12/97.25/97.37 call flys, 0.25 wings over
  • Eurodollar Options:
    • 6,200 Sep 95.87/96.12/97.25/97.50 put condor
    • 21,300 Sep 96.75/Mar 96.12 put calendar spd
    • 3,000 Sep 96.37/96.62/96.81 put flys
  • Treasury Options:
    • 10,300 TYQ 116 puts
    • Block, 10,000 FVU111/111.25 put spds, 5.5
    • Block, 12,500 FVU 111.25 puts, 43.5 vs. 111-30.75/0.40%
    • Block, 5,000 FVU 111.5/111.75 2x3 put spds vs. 20,000 FVU 112.75 calls,

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