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Early Treasury/SOFR/Eurodollar Option Roundup

US TSYS
Better Treasury option volume overnight - with some interesting curve/skew plays in 2s-10s
  • Treasury Options:
    • 4,000 FVZ 108.5 puts
    • 5,000 FVZ 106.25 puts, 49.5 ref 105-30.5
    • 1,500 TYZ 109 puts, 33 total volume >10.2k
    • Block, 10,000 FVZ2 106.25 puts, 43 ref 106-00.75 - same time as 7,500 TUZ2 101-23.12 (0441:03ET) (both appear to be sales)
    • Block, 20,000 TYZ2 112.75 calls, 6 vs. 10,000 FVZ2 106 puts, 39 (10Y call appears to be a buy vs. selling 5Y put)
    • Block, 15,000 TYZ2 112.75 calls, 7 ref 109-27.5
    • 3,000 TYZ2 108 puts, 18
    • 4,250 FVZ 106 puts, 40
    • 2,000 TYZ 109/110.5 put spds
  • SOFR Options:
    • 1,250 short Dec 94.50/95.00/95.50 put trees
    • Block/screen: 3,000 SFRZ2 95.31/95.43/95.56 call flys, 2.5
  • Eurodollar Options:
    • over 5,000 EDM3 94.37 puts
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