Free Trial

Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Robust put trade returned Friday as underlying rates traded lower following a spike in German PPI overnight (+5.3%, +37.2% YoY due to surge in energy prices). Meanwhile Richmond Fed Barkin reiterated the Fed's focus on reducing inflation, even in the face of potential recession. Salient trade:

  • SOFR Options:
    • -5,000 SFRZ2 97.25/97.50/97.75 call flys, 0.5 ref 96.44
    • Block, 5,000 SFRZ2 96.37/96.62/96.75/97.00 put condors, 5.5
    • 3,000 SFRH3 95.81/96.00/96.18 put flys
    • 21,400 short Aug SOFR 96.00 puts, 2.5 ref 96.595
  • Eurodollar Options:
    • 42,250 Dec 98.75/99.00 put spds, 25.0
    • 4,500 Green Sep 96.25 puts
    • +4,000 Blue Dec 97.62/97.87 put spds, 18.75 vs. 97.225/0.09% legged
  • Treasury Options:
    • 20,000 TYX 113/114 put spds, 3-6 ref 118-08

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.