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Eurodollar/SOFR/Tsy Option Roundup

US TSYS
  • SOFR Options:
    • -2,500 SFRU2 96.68/96.87/97.06 put flys, 7.75
    • Block, total 30,000 SFRH3 96.00/96.25 put spds 11.25 on splits
    • 2,000 short Dec 95.00 puts
    • Block, 1,500 SFRZ2 95.93/96.31 2x1 put spds, 4.0 ref 96.375
  • Eurodollar Options:
    • +10,000 short Sep 96.37/96.50/96.62/96.75 call condors, 2.0 vs. 96.21/0.05%
  • Treasury Options:
    • -2,500 USV 130/134 put spds, 50-51
    • 2,000 TYV 117.5 puts, 60
    • 1,500 TYU 117.5 puts, 24 total volume >6.8k
    • 8,000 TYU 117 puts, 9
    • 3,900 USU 140.5 calls, 9

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