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Early SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Mixed overnight trade as underlying futures unwind some of last Fri's bid, extending lows after the bell but rebounding. Better put trade so far, sellers/unwinds in low-delta SOFR options, Tsys seeing better put buying, call squaring in Eurodollar options.
  • SOFR Options:
    • -10,000 short Jan 95.87 puts, 14.5
    • 2,000 short Dec 95.00/95.12/95.12/95.25/95.37 put condors ref 95.60
    • Block, 6,000 SFRZ 93/94/95 put flys, 8.0 ref 96.935
    • 2,000 SFRF3 95.06/95.18/95.25/95.37 call condors, ref 95.085
  • Eurodollar Options:
    • 2,500 Blue Dec 97.12/97.37 call spds ref 96.92
    • 6,500 Dec 95.12/95.18 call spds ref 95.175 to -.1725
  • Treasury Options:
    • 1,500 TYF 113/114.5 3x2 put spds vs. TYF 114.5/116 2x3 call spds
    • +10,000 TYF 113/114/114.75 broken put flys, 3 vs. 114-24/0.05%
    • 1,400 USZ 137 calls, 9 ref 129-20
    • 5,000 TYF 112.5/113.5 put spds

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