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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Really limited volumes as option traders pulled up stakes well ahead of Friday's event risk surrounding the Jackson Hole eco-summit. Thu's buy of 70,000 short Dec SOFR 95.50/96.00/96.50 put flys at 8.5 had the right idea: hedging higher rates for longer as short end underlying futures start pricing in more rate hikes through year end. Continued put spd buying and vol selling via strangles reported with today's event risk in the rear view mirror.
  • SOFR Options: fading the post-data/Fed-speak short end bounce
    • Block, -10,000 SFRU3 95.75/96.75 strangles, 72.75
    • -2,500 SFRZ2 96.25/96.50 strangles, 30.0
    • +5,000 SFRH3 95.50/95.75 put spds, 5.5 vs. 96.26/0.08%
    • +5,000 SFRZ2 96.00/96.50 2x1 put spds, 4.0
  • Eurodollar Options:
    • +8,000 Dec 97.06 calls, 2.5 ref 96.02
  • Treasury Options:
    • -2,500 TYV 117.5 straddles, 201
    • 2,000 USV 128/130/132/134 put condors, 37
    • 2,700 TYV 116 puts, 25
    • 2,100 TYU 117.5 puts, 4
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Really limited volumes as option traders pulled up stakes well ahead of Friday's event risk surrounding the Jackson Hole eco-summit. Thu's buy of 70,000 short Dec SOFR 95.50/96.00/96.50 put flys at 8.5 had the right idea: hedging higher rates for longer as short end underlying futures start pricing in more rate hikes through year end. Continued put spd buying and vol selling via strangles reported with today's event risk in the rear view mirror.
  • SOFR Options: fading the post-data/Fed-speak short end bounce
    • Block, -10,000 SFRU3 95.75/96.75 strangles, 72.75
    • -2,500 SFRZ2 96.25/96.50 strangles, 30.0
    • +5,000 SFRH3 95.50/95.75 put spds, 5.5 vs. 96.26/0.08%
    • +5,000 SFRZ2 96.00/96.50 2x1 put spds, 4.0
  • Eurodollar Options:
    • +8,000 Dec 97.06 calls, 2.5 ref 96.02
  • Treasury Options:
    • -2,500 TYV 117.5 straddles, 201
    • 2,000 USV 128/130/132/134 put condors, 37
    • 2,700 TYV 116 puts, 25
    • 2,100 TYU 117.5 puts, 4