Free Trial

Eurodollar/SOFR/Tsy Option Roundup

US TSYS
Light summer volumes setting in, flow mixed with Eurodollar options focused on upside calls while the SOFR options (replacing Eurodollar options in June 2023) and Treasury options focused on downside puts.
  • Fading the sell-off in underlying rates, Eurodollar options saw better upside call volume. Salient trade a block buy of +10,000 Jul 96.62/96.87/97.12 call flys, 3.75 over Jul 96.25/96.56 call spds. Negative rate hedging continues with paper buying 100.12 and 100.25 calls in Red Sep'23 expirys.
  • SOFR option trade included modest put fly blocks in August and October expirys while Treasury option trade included put spread buying in 5s, 10s and 30s. Wk1 10Y midcurve options drew largest volume with 30,000 wk1 TY 113/114 put spds trading early.

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.