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Eurodollar/SOFR/Tsy Option Roundup

US TSYS

Modest overall FI option volumes noted Thursday, focus on wings with better downside (rate hike) insurance buying via puts. Underlying futures extended the midweek sell-off, focus on Friday's June employment report (268k est vs. 390k prior).

  • Late session comments from StL Fed Bullard and Fed Gov Waller underscored recent pricing of another 75bp hike at the end of the month (Bullard) while Waller sees recession fears as overblown.
  • Salient trade included Block buy of +10,000 short Jul SOFR 96.00/96.50 put spds at 2.0 w/ +15,000 short Jul SOFR 96.12/96.62 put spds at 3.0. Eurodollar option trade was more evenly mixed around year end with buyer of +6,000 Dec 97.50 puts, 129.5 vs. 96.28/0.90% and 6,000 Dec 96.50/96.75/97.00/97.25 call condors, 4.0. Treasury options included buy of 8,500 TYQ 118.5 puts at 105 and 3,300 FVQ 110.5/111/111.5/112 put condors at 9 as well as 8,000 FVQ 112/112.5 put spds at 14.5.
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