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Impulsive Rally Extends

US TSYS

Late Eurodollar/SOFR/Treasury Option Roundup

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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Mixed on net after slight pick-up in early call spd buying post-data. Continued put fly unwinds in Sep Eurodollar options:

  • SOFR Options:
    • +2,500 SFRZ3 93.00/94.00/95.00 put flys, 5.5
    • Block +9,750 SFRF3 96.00/96.25 put strip, 51.0 vs. 96.275
  • Eurodollar Options:
    • Block, 10,000 Sep 96.43/96.56 2x1 put spds, 0.0 ref 96.6225
    • Block, -20,000 Sep 96.12/96.50/96.87 put flys, 19.0 vs. 96.615/0.37%, adds to appr -65k Block sales since Monday, unwinding
    • +2,000 short Dec 96.50 straddles, 72.5
    • +10,000 Sep 96.62/Mar 96.00 call spd
    • 10,000 Sep 98.75/99.00 put spds
    • 5,500 Sep 98.75/99.50 put spds
    • 2,000 Sep 98.75/99.37 put spds
  • Treasury Options:
    • 2,000 TYV 120/121.5 call spds, 24
    • 2,000 TYU 119.25 calls, 25
    • 1,500 TUU 105.25/105.37 call spds
    • +5,000 FVU 112 calls, 22.5 vs. 111-28.25
    • 2,000 TYU 118.75 calls, 37 ref 118-24.5
    • -8,000 FVU 111.5/111.75 put spds, 6 vs. 111-27.25
    • Block, total 10,000 FVV 111.25/112.25 put spds, 24-25.5
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Mixed on net after slight pick-up in early call spd buying post-data. Continued put fly unwinds in Sep Eurodollar options:

  • SOFR Options:
    • +2,500 SFRZ3 93.00/94.00/95.00 put flys, 5.5
    • Block +9,750 SFRF3 96.00/96.25 put strip, 51.0 vs. 96.275
  • Eurodollar Options:
    • Block, 10,000 Sep 96.43/96.56 2x1 put spds, 0.0 ref 96.6225
    • Block, -20,000 Sep 96.12/96.50/96.87 put flys, 19.0 vs. 96.615/0.37%, adds to appr -65k Block sales since Monday, unwinding
    • +2,000 short Dec 96.50 straddles, 72.5
    • +10,000 Sep 96.62/Mar 96.00 call spd
    • 10,000 Sep 98.75/99.00 put spds
    • 5,500 Sep 98.75/99.50 put spds
    • 2,000 Sep 98.75/99.37 put spds
  • Treasury Options:
    • 2,000 TYV 120/121.5 call spds, 24
    • 2,000 TYU 119.25 calls, 25
    • 1,500 TUU 105.25/105.37 call spds
    • +5,000 FVU 112 calls, 22.5 vs. 111-28.25
    • 2,000 TYU 118.75 calls, 37 ref 118-24.5
    • -8,000 FVU 111.5/111.75 put spds, 6 vs. 111-27.25
    • Block, total 10,000 FVV 111.25/112.25 put spds, 24-25.5