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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Better put volumes on net as underlying futures start September on the back foot, yields surging back to mid-June levels w/ 30YY at 3.3985 high. Salient trades include

  • SOFR Options:
    • Total +30,000 SFRZ2 95.50/95.75/96.00 put flys, 3.0-3.25 on day (limited downside put structure targeting 95.75 w/ SFRZ2 futures trading 96.22 after early buy of +6,000 SFRZ3 95.25/95.75/96.25 put flys, 6.0 vs. 96.46/0.05%.
  • Eurodollar Options:
    • +15,000 Dec 95.75/95.87 put spds 5.0 over Dec 96.62/96.75 call spds
  • Treasury Options, more mixed on net w/ better 10Y put spd buying midday:
    • 4,000 TYV 116 puts, 60 ref 116-01
    • 2,500 TYV 117 puts at 137 vs. TYZ 113.5 puts 51 ref 115-30
    • 7,500 TYV 113/114 put spds, 10-12 ref 116-05.5 to 115-31
    • 7,500 TYV 113.5/118.5 put spds, 150 ref 116-10
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