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Heavy Dec'23 SOFR Call Spread Unwinds

US TSYS
  • Better upside call trade reported Friday, particularly in SOFR options amid massive December call spread volume early the first half. Despite the rebound in underlying futures following lower than expected EGB and US PMI metrics, it appeared a large acct was reversing hedges for rate cuts by year end: appr -100,000 SFRZ3 95.50/96.50 call spreads trade 7.5 after 70,000 SFRZ3 96.50/97.50 call spreads traded 3.5. Coming into the session, open interest in the 95.50 calls 345,812; 96.50 calls 422,721, 97.50 calls 394,127. Salient trade:
  • SOFR Options:
    • Block, 8,000 SFRU3 94.75/95.25 put spds 44.0 vs. 94.66/0.24% vs.
    • Block, 8,000 2QU3 96.75 puts, 34.0 vs. 96.63/0.58%
    • +12,000 SFRZ3 98.00/98.25 call strip, 5.0
    • -15,000 SFRU3 94.25 puts, 1.75
    • 4,600 SFRZ3 94.50/94.75/95.00 put flys adds to 8k Block
    • -100,000 SFRZ3 95.50/96.50 call spds 7.5 ref 94.795
    • -70,000 SFRZ3 96.50/97.50 call spds, ref 94.79
    • Block, 8,000 SFRZ3 94.50/94.75/95.00 put flys, 3.75 ref 94.795
    • Block, 7,848 SFRZ3 95.75/96.50/97.25 call flys, 2.0 ref 94.79
    • 2,000 OQQ3 96.25/96.50/96.68 call flys ref 95.89
    • 1,250 SFRN3 94.25/95.25 strangles ref 94.64
    • Block, 2,000 SFRU3 94.25/94.50/94.75 put flys, 10.25 ref 94.65 vs.
    • Block, 4,000 SFRZ3 95.00/95.25 call spds, 4.75 ref 94.75
  • Treasury Options:
    • +6,000 FVQ3 106.5 puts, 9 ref 107-31.5
    • over 5,400 FVQ3 109.5 calls, 11 ref 108-00
    • over -16,700 TYN3 113.75 calls, 2 ref 113-13
    • 3,200 TYN3 113 puts, 2
    • 5,800 TYQ3 118 calls, 2
    • over 7,800 TYQ3 115 calls, 14-15 ref 113-03.5 to -03
    • 1,300 TYQ3 116 calls, 7 ref 113-04.5
    • 1,500 FVQ3 107.5 puts, 29 ref 107-26
    • 1,500 FVN3 108.25/109 call spds ref 107-25.5
    • 1,000 TYU3 117 calls, 16 ref 113-03.5
    • 1,000 TYU3 114/115.5/116.5 broken call flys, ref 112-25.5
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