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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Much better option volumes Friday as underlying rates extended the week's lows (2YY tapped 4.2657% high) as markets continued to price in more rate hikes into year end. That said, option desks reported surge in upside call and call spread buying in 5- and 10Y Tsys options fading the sell-off as too far to fast. Salient trade:
  • SOFR Options:
    • Block, 20,000 SFRZ2 96.00/96.25 call spds, 2.5 ref 95.625
    • Block, 35,000 short Oct 95.75 puts, 24.0 vs 95.62/0.64% more on screen
    • +15,000 short Mar 98.00/98.50 call spds, 1.25
    • Block/screen 10,000 SFRZ2 96.00/96.25 call spds, 2.0
  • Eurodollar Options:
    • 10,000 Mar 95.00/95.50 2x1 put spds
    • 15,000 Sep 95.00 puts vs. 12,000 Mar 95.75 puts
  • Treasury Options:
    • +10,000 TYX 114 calls, 40 - adds to +9k from 26-27 earlier
    • +5,000 TYZ 117.5 calls, 16 ref 112-16.5
    • +5,000 TYZ 118 calls, 13 ref 112-17.5
    • +5,000 TYZ 120 calls, 6 ref 112-16
    • +12,500 TUX2 103.75/104.37 call spds, 2 ref 102-23
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Much better option volumes Friday as underlying rates extended the week's lows (2YY tapped 4.2657% high) as markets continued to price in more rate hikes into year end. That said, option desks reported surge in upside call and call spread buying in 5- and 10Y Tsys options fading the sell-off as too far to fast. Salient trade:
  • SOFR Options:
    • Block, 20,000 SFRZ2 96.00/96.25 call spds, 2.5 ref 95.625
    • Block, 35,000 short Oct 95.75 puts, 24.0 vs 95.62/0.64% more on screen
    • +15,000 short Mar 98.00/98.50 call spds, 1.25
    • Block/screen 10,000 SFRZ2 96.00/96.25 call spds, 2.0
  • Eurodollar Options:
    • 10,000 Mar 95.00/95.50 2x1 put spds
    • 15,000 Sep 95.00 puts vs. 12,000 Mar 95.75 puts
  • Treasury Options:
    • +10,000 TYX 114 calls, 40 - adds to +9k from 26-27 earlier
    • +5,000 TYZ 117.5 calls, 16 ref 112-16.5
    • +5,000 TYZ 118 calls, 13 ref 112-17.5
    • +5,000 TYZ 120 calls, 6 ref 112-16
    • +12,500 TUX2 103.75/104.37 call spds, 2 ref 102-23