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MNI: FRANCE NOV FINAL MANUF PMI 43.1 (FLASH 43.2); OCT 44.5

MNI: ITALY NOV MANUF PMI 44.5 (FCST 46.0); OCT 46.9

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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
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