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Early Trade Roundup Including SOFR

US EURODLR OPTIONS
  • SOFR Options:
    • 10,000 short Aug 97.00/97.25 put spds
    • Block, 2,500 SFRU2 98.50/98.75 put spds, 19.0
    • Block, +8,000 SFRM2 98.50/98.75 put spds, 10.5 vs. 98.695/0.25%
  • Eurodollar Options:
    • -2,000 Dec 97.25 straddles, 81.0 (off-strike)
    • +15,000 short Sep 96.50/97.50 put over risk reversals, 0.5 vs. 97.00/0.56%

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