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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
BulletMarketsFixed Income

Difficult to draw any conclusions from Friday's FI option trade, flow two-way, mixed on light volumes, vol sellers in Treasury options as underlying futures scaled back from the week's rally (30YY climbed to 3.2640% high on day vs. 3.1632% low).

  • SOFR options set the theme was flurry of limited up- and downside flys in late morning trade:
    • +8,000 (3k Block) SFRQ2 97.12/97.25/97.37 call flys, 1.5
    • +8,000 (3k Block) SFRU2 97.12/97.25/97.37 call flys, 1.25
    • +5,000 SFRV2 95.75/96.00/96.25 put flys, 2.0
  • Treasury Option vol sales via 10Y strangles included -7,500 TYQ 116/119 strangles, 62-61, -3,000 TYU 115/121 strangles, 114-112. Reminder, July Treasury options expire today.
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Difficult to draw any conclusions from Friday's FI option trade, flow two-way, mixed on light volumes, vol sellers in Treasury options as underlying futures scaled back from the week's rally (30YY climbed to 3.2640% high on day vs. 3.1632% low).

  • SOFR options set the theme was flurry of limited up- and downside flys in late morning trade:
    • +8,000 (3k Block) SFRQ2 97.12/97.25/97.37 call flys, 1.5
    • +8,000 (3k Block) SFRU2 97.12/97.25/97.37 call flys, 1.25
    • +5,000 SFRV2 95.75/96.00/96.25 put flys, 2.0
  • Treasury Option vol sales via 10Y strangles included -7,500 TYQ 116/119 strangles, 62-61, -3,000 TYU 115/121 strangles, 114-112. Reminder, July Treasury options expire today.