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Eurodollar/SOFR/Tsy Option Roundup

US TSYS

Midweek option flow centered on downside puts with a few exceptions (notable negative rate hedge for late 2023: paper bought +21,750 short Dec 100.5 calls, 1.0) after the steady sell-off in underlying futures from early session highs.

  • Trading desks reported early put buying ahead underlying rally that saw 30YY dip below 3.0% briefly: 2.9926% low, followed by sporadic rounds of put buying as 30YY climbed back to 3.1340% high in the second half.
  • Salient flow included a block buys of +20,000 Jul Eurodollar 96.25/96.75 put spds at 8.5, over 11,000 FVU 112 puts at 42 and 5,000 SFRZ2 95.50/96.00/96.25/96.75 put condors, 11.5.

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