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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Large Eurodollar put spds traded around midsession, targeting year end "higher for longer" rate hike speculation.

  • SOFR Options:
    • 5,000 SFRU 96.87/97.00 call spds
    • Block, +3,500 SFRH3 96.25/96.50 put spds 3.5 over 96.75 calls
  • Eurodollar Options:
    • 7,000 short Mar 98.00/98.75 put spds
    • 30,000 Dec 99.00/99.25 put spds
    • +30,000 Dec 99.00/99.75 put spds, 77.0
    • 30,000 Dec 99.00/99.62 put spds
    • -7,500 Red Dec'23 97.00/98.00 put spds, 77.0 vs. 96.245/0.15%
  • Treasury Options:
    • 1,500 TYX 115/117 2x1 put spds, 8
    • 2,500 TYV 113/114 put spds, 5
    • 2,000 FVV 107/108/108.5/109.25 put condors
    • +3,000 TYZ 122.5 calls, 18
    • +2,500 FVV 110 puts, 21.5 ref 110-26.75
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