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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Option trades remained decidedly bearish despite the front-end lead, curve steepening rally in underlying rate futures after July CPI read of 0.0%, Core 0.3%; Y/Y 8.5%, Core Y/Y 5.9%. Initial relief rally across the board while yield curves bull steepen as Sep rate hike expectations snap from strong 75bp conviction to 50bp (off immediate high of 96.76, Sep Eurodollar futures continue to trade around 96.65-.655 +0.100).

  • Despite the softer inflation metric, considering the amount of time and data yet to come before the Sep 16 FOMC - put buyers faded the short end rally. Salient trade some up the day: buyer of 20,000 Sep SOFR 96.68/96.75 put spreads at 1.0 later in the second half vs. 96.885-.890/0.05% delta. Meanwhile, Eurodollar options included a buy of 20,000 Nov 95.50/95.75 put spds at 4.5. Treasury options proved more mixed: two-way in 10Y and 5Y puts (-25,000 FVV 109/110 put spds, 4.5).
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