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Eurodollar/Treasury Option Roundup, Upside Insurance Buying

US TSYS
Eurodollar and SOFR option trade centered on buying upside call insurance as underlying rates see-sawed higher through the session (30YY below 3.0% again at 2.9827%). Yield curves bull flattened as short end resisted the rally. Nevertheless, rate hike hedging cooled somewhat and option accounts favored buying upside call plays.
  • SOFR option trade included early buying of near 20,000 SFRU2 97.68/97.87/98.06 1x3x2 call flys, wings bought over 0.0 ref 97.63. Highlight Eurodollar option trade included a buy of 20,000 Sep 97.50/97.75 call spds, 6.5, and +15,000 Sep 97.50/97.62/97.75 call flys, 1.25 wings over. in 2Y midcurves, paper bought +20,000 Green Oct 97.00/97.50 call spds 3.5 over Green Oct 96.62 puts.
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Eurodollar and SOFR option trade centered on buying upside call insurance as underlying rates see-sawed higher through the session (30YY below 3.0% again at 2.9827%). Yield curves bull flattened as short end resisted the rally. Nevertheless, rate hike hedging cooled somewhat and option accounts favored buying upside call plays.
  • SOFR option trade included early buying of near 20,000 SFRU2 97.68/97.87/98.06 1x3x2 call flys, wings bought over 0.0 ref 97.63. Highlight Eurodollar option trade included a buy of 20,000 Sep 97.50/97.75 call spds, 6.5, and +15,000 Sep 97.50/97.62/97.75 call flys, 1.25 wings over. in 2Y midcurves, paper bought +20,000 Green Oct 97.00/97.50 call spds 3.5 over Green Oct 96.62 puts.