Eurodollar/SOFR/Treasury Option Roundup

Light volumes persisted Thursday, but early trade favored upside calls amid carry-over support for underlying futures after Wed's July FOMC minutes cooled 75bp hike speculation. Salient trade included 10,000 TYU 121.5/123/124.5 call flys (expire next week Friday), and 10,000 Dec Eurodollar 96.50 calls at 10.0 vs. 96.105/0.25%.

• SOFR Options:
  • +2,500 SFRU2 96.93/97.00/97.06 call flys, 1.0
  • Block, 5,000 SFRZ2 96.00/96.25 put spds, 6.5 ref 96.47
  • Block, 5,000 SFRH3 95.75/96.12 put spds, 12.0 ref 96.355
  • 3,500 short Aug SOFR 96.00/96.25/96.50 put flys
  • 3,500 SFRZ2 95.00/95.50/96.00 put flys
  • 1,500 SFRZ2 96.18/96.31 put spds
• Eurodollar Options:
  • +10,000 Dec 96.50 calls, 10.0 vs. 96.105/0.25%
  • 2,000 Oct 96.00 puts, 12.5
  • 3,500 Dec 96.25 calls, 17.0 ref 96.10
• Treasury Options:
  • 1,500 FVU 111/111.25 3x2 put spds, 3.5 net
  • 10,000 TYU 121.5/123/124.5 call flys
  • 5,000 TYV 123 calls, 8
  • +1,000 USU 136 puts, 21
  • +5,000 wk1 US 136 puts, 21-23
  • 3,200 TYU 119 puts, 47 ref 118-22.5
  • 5,300 TYU 119 puts, 33