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NATURAL GAS

IEA Expect Tight Market Into 2023

EQUITIES

Estoxx option put spread

BONDS

Continued widening in the Greek/Bund spread

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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
Modest volume on narrow ranges and lower implieds continued Wednesday. With a few exceptions, option trade rotated centered on downside puts as underlying futures reversed early session gains to mildly lower across the curve by the bell.
  • A large limited downside protection for year end hikes via SOFR options had paper buy over +17,000 SFRZ2 95.00/95.50/96.00 put flys, 4.0 ref 97.015. Prior put skew buy block: +5,000 SFRZ2 95.75/96.00/96.25 put flys even over the SFRZ2 97.25/97.50 call spds. Muted Eurodollar option flow included +8,500 Dec 99.00/99.62 put spds and 5,000 Sep 99.50/99.75 put spds.
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Modest volume on narrow ranges and lower implieds continued Wednesday. With a few exceptions, option trade rotated centered on downside puts as underlying futures reversed early session gains to mildly lower across the curve by the bell.
  • A large limited downside protection for year end hikes via SOFR options had paper buy over +17,000 SFRZ2 95.00/95.50/96.00 put flys, 4.0 ref 97.015. Prior put skew buy block: +5,000 SFRZ2 95.75/96.00/96.25 put flys even over the SFRZ2 97.25/97.50 call spds. Muted Eurodollar option flow included +8,500 Dec 99.00/99.62 put spds and 5,000 Sep 99.50/99.75 put spds.