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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Mixed trade on light overall volume noted Tuesday, accounts near the sidelines ahead Friday's annual eco-summit in Jackson Hole. SOFR options saw better downside put structure buying while Eurodollar and Treasury options saw better upside call buying as short end rates gained on weaker PMIs and New Home sales.

  • SOFR Options:
    • -2,500 SFRU2 96.68/96.87/97.06 put flys, 7.75
    • Block, total 30,000 SFRH3 96.00/96.25 put spds 11.25 on splits
    • 2,000 short Dec 95.00 puts
    • Block, 1,500 SFRZ2 95.93/96.31 2x1 put spds, 4.0 ref 96.375
  • Eurodollar Options:
    • +10,000 short Sep 96.37/96.50/96.62/96.75 call condors, 2.0 vs. 96.21/0.05%
  • Treasury Options:
    • +1,500 USU 138 calls, 43 vs. 137-25/0.46%
    • +6,500 FVV 114 calls, 5
    • -2,500 USV 130/134 put spds, 50-51
    • 2,000 TYV 117.5 puts, 60
    • 1,500 TYU 117.5 puts, 24 total volume >6.8k
    • 8,000 TYU 117 puts, 9
    • 3,900 USU 140.5 calls, 9
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