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Eurodollar/SOFR/ Tsy Options Roundup

US TSYS

Better buyers of FI puts in the latter half of the week made the right call as underlying futures came under heavy pressure early Friday after an unexpectedly strong July employment report. July jobs gained +528k vs. +250k est. while, unemployment rate dropped a tenth to 3.5% after flattening out at 3.6% for six months. Average hourly earnings rose 0.5%, a tenth faster than in June.

  • Surge of selling in shorts to intermediates, yield curves extended inversion to new 22 year lows (2s10s -44.034) as pricing of another 75bp rate hike in September returned. Friday's option volume was rather disappointing, however, victim to summer trade malaise.
  • Salient trade included +7,500 October SOFR 96.00/96.25 put spds 1.0 over 97.00 calls as well as a sale of -10,000 March'23 SOFR 98.25 calls .75 over 95.25/95.56/96.00 put flys. An early Eurodollar block post had -11,500 Mar 96.37/96.87 1x2 call spds, 5.0 vs. 11,500 Mar 95.50/96.00 2x1 put spds, 2.0. Meanwhile, Treasury options included +21,000 (7.5k blocked) FVV 111/111.75 put spds, 9.5.
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