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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Moderate to large (for summer trade) Eurodollar put spds drove Tuesday's volume, apparently ongoing position unwinds even as underlying futures traded lower on mixed housing and better than expected IP/CapU data.
  • Salient flow, 20,000 Sep 96.12/96.50/96.87 put flys, 18.5 adds to 40k on Mon at 9.25 - option desks said sale as open interest declined a near amount on each leg. As the session progressed, additional spread sales included total 20,000 Dec 95.75/96.50 put spds, 40.0 vs. 96.08/0.05%, 20,000 Dec 96.12/96.50 put spds, 24.5 vs. 96.09/0.25% and 20,000 Mar 95.75/96.25 put spds, 23.0 vs. 96.085/0.24%.
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Moderate to large (for summer trade) Eurodollar put spds drove Tuesday's volume, apparently ongoing position unwinds even as underlying futures traded lower on mixed housing and better than expected IP/CapU data.
  • Salient flow, 20,000 Sep 96.12/96.50/96.87 put flys, 18.5 adds to 40k on Mon at 9.25 - option desks said sale as open interest declined a near amount on each leg. As the session progressed, additional spread sales included total 20,000 Dec 95.75/96.50 put spds, 40.0 vs. 96.08/0.05%, 20,000 Dec 96.12/96.50 put spds, 24.5 vs. 96.09/0.25% and 20,000 Mar 95.75/96.25 put spds, 23.0 vs. 96.085/0.24%.