Free Trial

Eurodollar/SOFR/Tsy Option Roundup

US TSYS

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.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.