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Eurodollar/Tsy Option Roundup

US TSYS
Quiet end to a hectic policy week, active accounts continued to fade the rise in yields via upside calls/call spd buys, unwind downside puts/put spread longs, the majority of Eurodollar and Treasury option trade Friday.
  • Salient Eurodollar trade included buy of 5,000 Dec 96.75/97.00/97.25 call flys, 3.0 after 8,000 Jul 97.50 calls vs. short Jul 96.62/96.87 call spds overnight. Midcurve put sales of 10,000 short Jun 96.37 puts at 18.0 followed by vol sale of 5,000 Jun 98.12/98.18 strangles, 6.5.
  • SOFR options included an early buy of 7,000 SFRU2 97.62/97.75/97.81/97.93 call condors at 1.75.
  • Treasury Options included buy og +15,000 TYM 116.5/119.5 call over risk reversals, 2 ref 117-29 after accumulated sale of -6,000 TYM 124 puts, 550.
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