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Eurodollar/SOFR, Tsy Option Roundup

US TSYS
Session theme: long put positions unwinding as weak service sector PMI (47.0 vs. 52.7 est) sees forward rate hike guidance for Sep and Dec cool off, while 75bp still a lock (see 1022ET bullet re: STIR implied probabilities).
  • Treasury volumes robust with pick-up in call buying in the second half: over 35,000 TYU 120 calls, wide range from 1-10, 10,300 TYQ 120.5 calls at 1.
    First half put flow included:
  • First half put flow included:
    • 5,900 TYU 116.5/118/118.5/120 put condors
    • over 11,500 TYU 119.5 puts, 57 last ref 120-04
    • over 17,000 TYQ 119.5 puts, 3 ref 119-28
    • over 30,000 TYU2 118 puts on wide range from 26-47, most prints at 34
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