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BOJ JUN TANKAN LARGE MFG INDEX FORECAST AT +10

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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Thursday's FI option trade mirrored the prior session on lighter volumes, active accounts close to the sidelines ahead of Friday's July employment report (+250k est). Traders reported carry-over put buying despite a modest rebound in underlying futures as mildly hawkish Fed speak moderated slightly.

  • SOFR volumes outpaced for the second consecutive session, salient trade included Block buys of 20,000 short Aug 96.75 puts from 4.5-5.0, ngoing/adds to 12.5k bought Wed, opener w/OI 19.465. Limited downside put fly buy of 5,000 SFRU2 96.62/96.81/97.00 put flys, 6.0 net. Eurodollar options saw modest buying in October 95.75 puts in the first half.
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