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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

SOFR put options lead with ongoing "higher for longer" rate hike insurance hedging.

  • Salient trade: Ongoing buyer 5,000 SFRZ3 95.00/95.50/96.00 put flys, 8.5 at 1144-1145ET. Ongoing interest in the limited downside structure targeting late 2023:
  • Paper bought +40,000 SFRZ3 (Red Dec) 95.00/95.50/96.00 put flys, 7.0-7.5 on Sep 14: in addition to 30k back in mid-July from 4.0-3.5 Last month included a buy of +70,000 short Dec SOFR 95.50/96.00/96.50 put flys at 8.5 back on Aug 25 (expires same time as SFRZ2 futures but uses SFRZ3 as underlying.
  • In other SOFR trade, put spd buy funded via call spd sale block at 1312:42ET
    • +20,000 SFRH3 94.25/94.62/95.25 put flys 2.25 over
    • -20,000 SFRH3 95.50/95.87 call spds

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