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Eurodollar/SOFR/Treasury Option Roundup, Put Unwinds

US TSYS

Much better downside put volume reported Thursday as underlying futures rallied in response to U.S. GDP contracting 0.9% in the second quarter, far below analyst expectations for a 0.4% gain. Underlying futures rallied as more aggressive rate hike expectations evaporated, 50bp hike more likely at the next Fed policy meeting in Sep than 75bp.

  • Eurodollar and SOFR option volumes were light (Block sale of 20,000 Sep 96.50/96.62 put spds at 3.5; -20,000 SFRM3 95.75/95.87 put spds, 2.0 vs. 96.995/0.05%) compared to Treasury options where 10Y put unwinds and repositioning trades noted (-30,000 TYU 115/116 put spds at 1; Block 10,000 TYU2 118.5/120 put spds, 26 vs. 120-27.5/0.18%).
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