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Eurodollar/SOFR/Treasury Option Roundup

US TSYS

FI option trade petered out in the second half, overall trade mixed/consolidative as support in long end underlying evaporated. Notable vol structure in SOFR options included large March/June/Sep strangle spd strip

  • SOFR Options:
  • Large strangle Block package:
    • -10,000 SFRH3 94.75/95.75 strangles, 30.0
    • +10,000 SFRH3 94.50/95.50 strangles, 29.0
    • -10,000 SFRM3 94.75/95.75 strangles, 55.0
    • +10,400 SFRM3 94.50/95.50 strangles, 54.5, 0.5 cr
    • -10,000 SFRU3 94.25/95.75 strangles, 64.0 vs
    • +10,000 SFRU3 94.50/96.00 strangles, 63.5, 0.5 cr
  • Block, 10,000 SFRH3 96.25 calls, 6.0 ref 95.12
  • 20,000 SFRH3 96.25/96.75 put spds
  • +15,000 SFRZ2 95.62 calls, 5 vs. 95.35/0.22%
  • Block, 6,000 SFRF3 94.75/95.00/95.25 put flys, 4.25 net
  • 7,500 short Nov 96.25/96.75/97.00 broken call flys vs.
  • short Jan 96.50/97.50/98.00 broken call flys
  • Block, 8,000 SFRX2 95.25/95.50 put spds, 13.5
  • Eurodollar Options:
  • 20,000 Mar 96.25/96.75 Put spds
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