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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
More mixed FI option trade Wednesday appeared to favor upside call and call structure buying, taking advantage of weaker underlying futures to fade the move in the lead-up to Friday morning (1000ET) appearance by Fed Chairman Powell at the Jackson Hole economic summit. Will Powell be hawkish (in the face of softer economic data the last few weeks), will he pivot (due to same data), will he try to thread the needle with some stance in the middle?
  • Today's trade could be loosely described as favoring the pivot: less hawkish rhetoric from the chairman will likely see FI markets rally, and curves bull steepen in the short term. However, given the amount of time and data yet to come between the summit and the next FOMC announcement on September 21 - it's all more likely just short term squaring rather than a major shift in positioning. Some highlight option trades:
  • SOFR Options:
    • +4,000 SFRU3 96.50 straddles, 123-124
    • Block -14,876 SFRH3 96.25 straddles, 75.0
    • +20,000 SFRZ2 97.00/97.25/97.50 call flys, 0.5 vs. 96.40/0.05%
  • Eurodollar Options:
    • Block, 10,000 Dec 96.25 calls 14.75 vs. SFRZ2 96.62 calls, 14.0
    • Block, 20,000 Nov 95.50/95.75 put spds, 4.75
  • Treasury Options: Reminder, Sep options expire Friday
    • +4,000 TYZ 118.5/120.5 call spds, 41-42
    • +10,000 TYU 117.75/118.75 call spds, 10
    • Block, 30,000 TYU 117.75/118.75 call spds, 10
    • Block, 9,000 wk3 TY 114.5/115.5 put spds, 11
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