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Eurodollar/SOFR/Treasury Option Roundup, Consolidative

US TSYS
Mixed option trade Monday, appeared two-way/consolidative with some accounts unwinding puts after underlying futures extended session lows in the second half, preceded by modest upside call buying across the board. Overall volumes light with accounts plying the sidelines ahead Tue's August CPI read. Highlight trade:
  • SOFR Options:
    • 3,000 SFRH3 96.18 puts
    • Block, 5,000 SFRZ2 96.50 calls, 5.5
    • 2,500 SFRZ 95.75/96.00/96.37 broken put flys
    • 4,000 short Aug SOFR 96.06/96.31 put spds
  • Eurodollar Options:
    • Block, -10,000 Nov 95.50 puts, 3.25 ref 95.83
    • 5,500 Green Dec 97.37 calls
    • 4,000 (screen/block) Nov 95.50/95.75 3x2 put spds
    • 4,200 short Sep 96.25 calls
  • Treasury Options:
    • -4,100 USZ 128/136 call over risk reversal, 5 net ref 132-11
    • 4,000 FVX 111 calls, 30
    • Block, +15,000 TYV 117.5/118.5 call spds, 8 ref 116-00.5
    • +5,000 USZ 124 puts, 46 ref 133-14
    • +8,000 TYV 115.25 puts, 25 ref 116-02
    • 2,500 TYZ 120/123/126 call trees
    • Block, 10,000 FVX 109.75 puts, 43-39
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