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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
  • SOFR Options:
    • +1,000 short Sep 97.00/97.25/97.75 broken call trees, 1.5 ref 96.78
    • Block, 3,583 short Jul 96.12/96.62 put spds, 10.0 vs. 96.78/0.24%
  • Eurodollar Options:
    • 2,000 Dec 98.00 calls
    • 2,000 short Sep 96/97 strangles
    • 5,000 Sep 100.25 calls, 2.0
    • 5,000 short Jul 96.00/96.25 put spds
  • Treasury Options: (July options expire today)
    • -3,000 TYU 115/121 strangles, 114-112
    • 6,000 FVN 111 puts, 1.5
    • 8,800 TYN 116.75 puts, 1
    • 5,000 TYN 117.75/118.25 call spds, 2

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