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Eurodollar/SOFR/Tsy Option Roundup, Fading the Rally

US TSYS

Continued interest in downside put buying/rate hike insurance Monday despite the modest rebound in underlying rate futures. While some accts took the opportunity to unwind a portion of Friday's post-employment sell-off, option traders look to the potential for further declines in rates if Wednesday's CPI comes in hot again (current MoM 0.2% est vs. 1.3% prior, 8.7% YoY est vs. 9.1% prior). Flow roundup:

  • SOFR Options:
    • 5,250 Dec 98.87/99.75 put spds
    • Block, 2,500 SFRH3 96.50/96.75 call spds 2.0 over SFRZ2 96.00/96.25 put spds
    • Block, 5,000 Aug/Sep 96.75/96.87 put spd spd, 0.5 net/Sep over vs. 96.83
    • 1,500 SFRQ2 96.87/96.93 1x2 call spds
    • +5,000 SFRU2 97.37 calls, 1.25
    • 5,000 short Aug SOFR 96.50/96.62 put spds
    • 14,500 SFRH2 96.00/96.25 put spds
  • Eurodollar Options:
    • 2,500 Dec 98.75/99.75 put spds
    • 10,000 Dec 98.87/99.62 put spds
    • 7,000 Dec 98.87/99.75 put spds
    • 2,000 Dec 99.87 calls, cab
    • +5,000 Dec 98.00/99.75 1x3 call spds, 1.0 net
  • Treasury Options:
    • 3,500 TYU2 118.25 puts, 19
    • 5,000 FVU 111.5/113.5 put over risk reversals, 2.5
    • 1,000 FVU/FVV 111.5 put spds, 17
    • 2,500 TYU 118.5/121
    • 3,500 TYV 113/115 put spds
    • 8,200 FVV 109/110 put spds
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Continued interest in downside put buying/rate hike insurance Monday despite the modest rebound in underlying rate futures. While some accts took the opportunity to unwind a portion of Friday's post-employment sell-off, option traders look to the potential for further declines in rates if Wednesday's CPI comes in hot again (current MoM 0.2% est vs. 1.3% prior, 8.7% YoY est vs. 9.1% prior). Flow roundup:

  • SOFR Options:
    • 5,250 Dec 98.87/99.75 put spds
    • Block, 2,500 SFRH3 96.50/96.75 call spds 2.0 over SFRZ2 96.00/96.25 put spds
    • Block, 5,000 Aug/Sep 96.75/96.87 put spd spd, 0.5 net/Sep over vs. 96.83
    • 1,500 SFRQ2 96.87/96.93 1x2 call spds
    • +5,000 SFRU2 97.37 calls, 1.25
    • 5,000 short Aug SOFR 96.50/96.62 put spds
    • 14,500 SFRH2 96.00/96.25 put spds
  • Eurodollar Options:
    • 2,500 Dec 98.75/99.75 put spds
    • 10,000 Dec 98.87/99.62 put spds
    • 7,000 Dec 98.87/99.75 put spds
    • 2,000 Dec 99.87 calls, cab
    • +5,000 Dec 98.00/99.75 1x3 call spds, 1.0 net
  • Treasury Options:
    • 3,500 TYU2 118.25 puts, 19
    • 5,000 FVU 111.5/113.5 put over risk reversals, 2.5
    • 1,000 FVU/FVV 111.5 put spds, 17
    • 2,500 TYU 118.5/121
    • 3,500 TYV 113/115 put spds
    • 8,200 FVV 109/110 put spds