August 05, 2022 15:27 GMT
Eurodollar/SOFR/Treasury Option Roundup
US TSYS
- SOFR Options:
- -10,000 SFRZ2 97.50/97.75 call spds, 1.25
- +7,500 SFRV2 96.00/96.25 put spds, 1.0 over 97.00 calls
- -10,000 SFRH3 98.25 calls .75 over 95.25/95.56/96.00 put flys
- 3,000 SFRU 97.00/97.06/97.12 call flys
- Eurodollar Options:
- Block, 11,500 Mar 96.37/96.87 1x2 call spds, 5.0 vs.
- Block, 11,500 Mar 95.50/96.00 2x1 put spds, 2.0
- +21,000 Dec 98.50/98.75 call spds, 0.25
- Treasury Options:
- +4,000 TYX 122 calls, 50-51
- -5,000 FVU 113.25 calls, 15
- 21,000 (7.5k blocked) FVV 111/111.75 put spds, 9.5
64 words