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Eurodollar/SOFR/Tsy Option Roundup: Consistent Put Trade

US TSYS

Modest overall FI option volume Tuesday focused on downside puts as near-term 75bp likely to remain the "new baseline" from the Federal Reserve. Nevertheless, underlying rates see-sawed off session lows in late trade. Salient examples in SOFR, Eurodollar and Treasury options include:

  • Eurodollar blocks included +20,000 Dec 95.5/96.5 put spds, 40.5 vs. 96.20/0.36% as well as +17,000 Dec 95.62/96.62 put spds, 45.5 vs. 96.20/0.42%.
  • Treasury options saw buy of at least 25,000 (12.5k Blocked) TYU2 113/115 2x1 put spds at 1.0 in addition to 10,000 TYQ 113/114 put spds, 8.
  • SOFR options package structured as a bear flattener with buy of 30,000 SFRZ2 96.25/97.50 put spds 77.5 vs. -20,000 SFRZ3 96.00 puts at 49.5.
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