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Eurodollar/SOFR/Treasury Option Roundup: Put Unwinds

US TSYS
Session theme: long put positions unwinding as weak service sector PMI (47.0 vs. 52.7 est) sees forward rate hike guidance for Sep and Dec cool off, while 75bp still a lock (see 1022ET bullet re: STIR implied probabilities). Expect to see more put position unwinds or strike roll-ups if rally persists. Summer drag on participation: ironically, volume in upside calls still light, accts unwilling to add risk as yet during summer trade. Early roundup:
  • SOFR Options:
    • 2,000 SFRV2 96.12/96.25 put spds vs. 97.00/97.12 call spds
  • Eurodollar Options:
    • -15,000 Oct 94.93/95.56 put spds, 3.5
  • Treasury Options:
    • over 11,500 TYU 119.5 puts, 57 last ref 120-04
    • over 17,000 TYQ 119.5 puts, 3 ref 119-28
    • over 30,000 TYU2 118 puts on wide range from 26-47, most prints at 34
    • 5,000 wk5 5Y 112.75 calls, 26 ref 112-24.25
    • 3,000 TYQ 119.25 puts, 3
    • 4,800 FVU 111.75 puts, 22 ref 112-30
    • 2,500 wk5 10Y 119 puts, 16 ref 119-28.5
    • 2,500 wk5 30Y 140.5 puts, 35 ref 142-00
    • 2,500 TYU 118 puts, 32
    • -4,700 TYUTYU 116/117.5 put spds14 ref 119-21
    • 5,000 TYQ 118.5/TYU 119.5 call spds, 6 Sep over
    • -5,000 TYQ 118 calls 7 over TYU 119 calls ref 119-16.5
    • 4,000 TYU 120/121 call spds, 24 ref 119-17
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Session theme: long put positions unwinding as weak service sector PMI (47.0 vs. 52.7 est) sees forward rate hike guidance for Sep and Dec cool off, while 75bp still a lock (see 1022ET bullet re: STIR implied probabilities). Expect to see more put position unwinds or strike roll-ups if rally persists. Summer drag on participation: ironically, volume in upside calls still light, accts unwilling to add risk as yet during summer trade. Early roundup:
  • SOFR Options:
    • 2,000 SFRV2 96.12/96.25 put spds vs. 97.00/97.12 call spds
  • Eurodollar Options:
    • -15,000 Oct 94.93/95.56 put spds, 3.5
  • Treasury Options:
    • over 11,500 TYU 119.5 puts, 57 last ref 120-04
    • over 17,000 TYQ 119.5 puts, 3 ref 119-28
    • over 30,000 TYU2 118 puts on wide range from 26-47, most prints at 34
    • 5,000 wk5 5Y 112.75 calls, 26 ref 112-24.25
    • 3,000 TYQ 119.25 puts, 3
    • 4,800 FVU 111.75 puts, 22 ref 112-30
    • 2,500 wk5 10Y 119 puts, 16 ref 119-28.5
    • 2,500 wk5 30Y 140.5 puts, 35 ref 142-00
    • 2,500 TYU 118 puts, 32
    • -4,700 TYUTYU 116/117.5 put spds14 ref 119-21
    • 5,000 TYQ 118.5/TYU 119.5 call spds, 6 Sep over
    • -5,000 TYQ 118 calls 7 over TYU 119 calls ref 119-16.5
    • 4,000 TYU 120/121 call spds, 24 ref 119-17