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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

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