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Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Modest option volumes noted Thursday despite the wide range in underlying futures, curves bear steepening with carry-over weakness in the long end. Salient trade did appear to be bullish with selling of SOFR puts and scale buyer of September 10Y call flys.
  • SOFR Options:
    • -10,000 SFRV 96.25 puts, 8.5 vs. 96.495
    • +1,000 SFRV2 96.50/96.75 1x2 call spds, 1.0
    • Block, 2,500 SFRZ2 96.12/96.25/96.62/96.75 put condors, 4.5
    • 2,000 SFRU2 97.06/97.18 call spds
  • Eurodollar Options:
    • 4,000 short Mar 99.25 calls, 1.5
  • Treasury Options:
    • 2,000 TYU 119.25 calls, 44
    • +3,000 TYU 116 puts, 2
    • -2,500 FVZ 113 straddles, 234-233
    • +11,000 TYU 120.5/1215.5/122.5 call flys 7-8 ref 119-11.5 TO -17.5
    • 1,300 USU 140/142 put spds,
    • 4,000 TYU 120/121 call spds
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Modest option volumes noted Thursday despite the wide range in underlying futures, curves bear steepening with carry-over weakness in the long end. Salient trade did appear to be bullish with selling of SOFR puts and scale buyer of September 10Y call flys.
  • SOFR Options:
    • -10,000 SFRV 96.25 puts, 8.5 vs. 96.495
    • +1,000 SFRV2 96.50/96.75 1x2 call spds, 1.0
    • Block, 2,500 SFRZ2 96.12/96.25/96.62/96.75 put condors, 4.5
    • 2,000 SFRU2 97.06/97.18 call spds
  • Eurodollar Options:
    • 4,000 short Mar 99.25 calls, 1.5
  • Treasury Options:
    • 2,000 TYU 119.25 calls, 44
    • +3,000 TYU 116 puts, 2
    • -2,500 FVZ 113 straddles, 234-233
    • +11,000 TYU 120.5/1215.5/122.5 call flys 7-8 ref 119-11.5 TO -17.5
    • 1,300 USU 140/142 put spds,
    • 4,000 TYU 120/121 call spds