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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
  • SOFR Options:
    • Block, 2,500 SFRZ2 96.50/96.62/97.50 call trees, 0.25
    • Block, 3,000 short Aug 95.12/95.75/96.00 put trees, 0.25
    • +15,000 short Aug 96.12/96.62 put spds, 10.25-10.75
    • Block, total 12,500 short Aug 96.75 puts, 6.0-6.5
    • Block 10,000 SFRZ2 96.62/96.75/97.50 broken call trees, 1.0 credit (96.62 calls bought vs. 2 legs)
    • 4,000 SFRZ2 96.12/97.12 call over R/R, 1.25 cr - adds to -20k Block
    • +20,000 SFRZ2 97.50/97.75 call spds, 2.0 ref 96.615
    • Block, 3,000 SFRH3 95.75/96.12 put spds, 10.0 vs. 96.60/0.08%
    • Block, total -20,000 SFRZ2 96.12/97.12 call over risk reversals, 1.25 vs. 96.625/0.48%
  • Eurodollar Options:
    • 5,000 Sep 96.25/96.37 put spds
    • Block, +3,000 Dec 98.00/98.81 call spds 1.25 w/ SFRZ2 96.62/96.75/97.50 broken call trees (10k call trees blocked earlier) 0.25 net db/package
  • Treasury Options:
    • total 17,500 TYV 122 calls, 40-42
    • 2,000 FVU 111 puts, 9
    • 3,000 FVU 112.25/112.5 put spds
    • 3,600 TYU/wk1 TY 119.5 put spds 26
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