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Eurodollar/SOFR/Tsy Option Roundup

US TSYS

Midweek FI option volume continued to thin in the lead-up to the extended 4th of July holiday weekend (early 1300ET close Friday, Monday closed). Carry-over interest in downside puts continued (with one notable exception in SOFR options) fading the rally in underlying futures on the day.

  • Salient Eurodollar trade included buy of over 50,000 Dec 96.00/96.50 put spds at 26.0, while paper paid 12.5 for +5,000 short Aug 95.87/96.37 put spds around midday.
  • Treasury options included carry-over buy of 8,500 TYQ 113/114 put spds, 4 vs 117-11 adding to +10,000 bought Tuesday, while Block buy of 7,500 USU2 137 puts, 303 vs. 136-24/0.50%.
  • SOFR options upside insurance trade had paper buy 10,000 SFRZ2 97.50/97.75 call spds, 3.0 vs. 96.65/0.05%.

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