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Medium-Term Rate Expectations Converge To US

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US TSYS

Late Eurodollar/SOFR/Treasury Option Roundup

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Eurodollar/SOFR/Tsy Option Roundup

US TSYS

Rate hike insurance buying via SOFR and Eurodollar puts continued Tuesday, supporting low-delta volatility vs. slightly lower at-the-money vol (lack of real vol on range in underlying) in the lead up to Wednesday's July CPI read (0.2% est, 1.3% prior); YoY (8.7% est, 9.1% prior).

  • Salient trade listed below includes buying of March and June expiry SOFR put flys, Dec Eurodollar put spreads and outright puts:
    • SOFR Options:
      • Block, 3,000 SFRQ2 96.75/96.87 put spds 1.5 over 96.93 calls
      • +7,500 SFRM3 95.00/95.50/96.00 put flys at 5.5 WITH
      • +7,500 SFRZ3 95.00/95.50/96.00 put flys at 4.0
      • another +22,500 SFRM3 95.00/95.50/96.00 put flys blocked at 5.5
      • Block, 4,000 SFRH3 96.50/96.75 call spds, 9.5 vs. 96.365/0.08%
      • +2,000 SFRZ2 96.18/96.31 2x1 put spds, 2 ref 96.42
      • 9,700 SFRZ2 95.50/95.75 put spds
    • Eurodollar Options:
      • +20,000 Dec 95.50 puts 10.0 vs. 96.035/0.25%
      • -10,000 Mar/Jun 96.12/96.50 put spd strip, 40.5 ref 96.085/96.24
      • 20,750 Dec 98.75/99.75 put spds
      • 3,500 Dec 99.25/99.37 put spds
      • 17,000 Green Dec 97.75/98.25 call spds
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Rate hike insurance buying via SOFR and Eurodollar puts continued Tuesday, supporting low-delta volatility vs. slightly lower at-the-money vol (lack of real vol on range in underlying) in the lead up to Wednesday's July CPI read (0.2% est, 1.3% prior); YoY (8.7% est, 9.1% prior).

  • Salient trade listed below includes buying of March and June expiry SOFR put flys, Dec Eurodollar put spreads and outright puts:
    • SOFR Options:
      • Block, 3,000 SFRQ2 96.75/96.87 put spds 1.5 over 96.93 calls
      • +7,500 SFRM3 95.00/95.50/96.00 put flys at 5.5 WITH
      • +7,500 SFRZ3 95.00/95.50/96.00 put flys at 4.0
      • another +22,500 SFRM3 95.00/95.50/96.00 put flys blocked at 5.5
      • Block, 4,000 SFRH3 96.50/96.75 call spds, 9.5 vs. 96.365/0.08%
      • +2,000 SFRZ2 96.18/96.31 2x1 put spds, 2 ref 96.42
      • 9,700 SFRZ2 95.50/95.75 put spds
    • Eurodollar Options:
      • +20,000 Dec 95.50 puts 10.0 vs. 96.035/0.25%
      • -10,000 Mar/Jun 96.12/96.50 put spd strip, 40.5 ref 96.085/96.24
      • 20,750 Dec 98.75/99.75 put spds
      • 3,500 Dec 99.25/99.37 put spds
      • 17,000 Green Dec 97.75/98.25 call spds