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Early SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Large SOFR Red Dec'23 call spd leads volume:
  • SOFR Options:
    • +25,000 SFRZ3 96.00/97.50 call spds, 30-30.5
    • 2,000 SFRG 95.18/95.31/95.43 call flys ref 95.14
    • Block, 2,500 Green Mar'23 97.00 calls, 25.0 vs. 96.805/0.40%
    • 2,000 short Mar 94.00/94.50/95.50 broken put flys
  • Eurodollar Options:
    • 4,000 short Jun 98.87/99.12 call spds, ref 96.075
  • Treasury Options:
    • 5,000 TYZ 109 and 108.5 puts at 1
    • 2,500 TYZ 113.75 calls, 9 ref 112-20
    • 4,000 TYF 114/116 call spds ref 112-19.5
    • 3,800 TYF 116.5 calls, 12 ref 112-21

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