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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
FI option volumes leaned toward puts as policy speculation turns to end of year expirys. Sep Eurodollar midcurves expire this afternoon, lead quarterly early Monday w/ futures, (EDU2 final settle: 96.43471 after latest 3M LIBOR set' climbs +0.03815 to 3.56529%, +0.31986/wk). Recent opinion write-ups say market not fully pricing in "higher for longer" rates should see put volumes rise: note ongoing buying short Dec SOFR 95.50/96.00/96.50 put flys at 12.5.
  • Regarding Sep SOFR option expiration: "all options (excluding Weekly Mid-Curves): Trading terminates at close of CME Globex trading on the Friday before 3rd Wednesday of contract month Weekly Mid-Curves: Last Trading Day is any Friday not scheduled for expiration of any Standard Quarterly/Serial option", according to the CME.
  • CME SOFR link

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