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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
Friday's FI option flow centered on wing options with better downside (rate hike) insurance buying via puts as markets adjusted to the stronger than expected June employment report +372k vs. +268k est underscored the likelihood of a 75bp hike at the end of the month.
  • Despite the sharp post-data sell-off in underlying futures, overall volumes remain light, even in futures (TYU2<1.2M at the close) with traders close to the sidelines in early summer trade.
  • Some trade highlights included a block buy of 7,500 FVU 111.25 puts at 54, 5,000 FVQ 110/110.5/111/111.5 put condors and 10,000 TYQ 114/115 put spds at 3. Late Eurodollar options blocks included a buy of 10,000 Jul 96.50/96.75 put spds at 9.0, 10,000 July 96.56/96.75 put spds at 8.0 and 20,000 Dec 97.00/97.50 put spds at 43.5. On the flipside, paper bought 20,000 Red Sep'23 99.00 calls at 9.0 ref 96.555, adding to +40k on Thursday.
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