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Eurodollar/SOFR/Treasury Option Roundup

US TSYS
  • SOFR Options:
    • 5,250 Dec 98.87/99.75 put spds
    • Block, 5,000 Aug/Sep 96.75/96.87 put spd spd, 0.5 net/Sep over vs. 96.83
    • 1,500 SFRQ2 96.87/96.93 1x2 call spds
    • +5,000 SFRU2 97.37 calls, 1.25
    • 5,000 short Aug SOFR 96.50/96.62 put spds
    • 14,500 SFRH2 96.00/96.25 put spds
  • Eurodollar Options:
    • +5,000 Dec 98.00/99.75 1x3 call spds, 1.0 net
  • Treasury Options:
    • 2,500 TYU 118.5/121
    • 3,500 TYV 113/115 put spds
    • 8,200 FVV 109/110 put spds

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