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Expiries for Nov09 NY cut 1000ET (Source DTCC)

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USTs (very) briefly hit post-FOMC highs

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Large Bund call spread lifted for 24

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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Tuesday's larger trading volumes included multiple put spread unwinds, accts consolidating downside positions in the hopes the heavy selling in underlying futures has run it's course. Short end Eurodollar and Tsy 2Y futures outperformed on multiple factors including new steepeners, swap-tied receivers/payer unwinds, outright short covering as rate hike pricing cools.
  • SOFR Options:
    • Block, 10,000 SFRH3 96.00 calls, 17.5 ref 95.475
    • -5,000 SFRH3 96.00 calls, 15.0 ref 95.44
    • -25,000 short Nov 95.37 puts, 14.5 vs. 95.68/0.30%
    • +4,000 SFRF3 94.62/95.00 put spds, 6.5
    • Block 4,000 short Oct 95.00/95.25 put spds, 2.0
    • 20,000 SFRZ2 95.00/95.37 put spds
    • 5,000 short Oct 95.75/95.87/95.93 call flys
  • Eurodollar Options
    • +15,000 Green Mar 98.00 calls, 3.0 vs. 95.905/0.05%
    • 3,000 EDZ2 95.75 puts, 52.5 ref 95.28
  • Treasury Options:
    • Block, 10,000 TYX 110.25/111.5 put spds, 33 ref 111-07.5
    • 3,750 TYX2 109.5/110.75 put spds 12 over 113.25 calls ref 111-07
    • 2,000 FVX 105/106/107 put flys
    • Block -10,000 FVX2 106.25/107.25 put spds, 37.5
    • 5,000 TYX2 111/111.5/112 call flys
    • -20,000 TYX2 110.5/111.5 put spds, 29 ref 111-03.5
    • -20,000 FVX2 106/107 put spds, 26 ref 106-26
    • Block, 10,000 TYX 109/110 put spds 18 ref 111-00.5
    • -5,000 TYX 113/114 call spds, 12
    • -10,000 TYX 114 calls, 15, total volume near 30k
    • over 5,000 USX 120/125 put spds
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Tuesday's larger trading volumes included multiple put spread unwinds, accts consolidating downside positions in the hopes the heavy selling in underlying futures has run it's course. Short end Eurodollar and Tsy 2Y futures outperformed on multiple factors including new steepeners, swap-tied receivers/payer unwinds, outright short covering as rate hike pricing cools.
  • SOFR Options:
    • Block, 10,000 SFRH3 96.00 calls, 17.5 ref 95.475
    • -5,000 SFRH3 96.00 calls, 15.0 ref 95.44
    • -25,000 short Nov 95.37 puts, 14.5 vs. 95.68/0.30%
    • +4,000 SFRF3 94.62/95.00 put spds, 6.5
    • Block 4,000 short Oct 95.00/95.25 put spds, 2.0
    • 20,000 SFRZ2 95.00/95.37 put spds
    • 5,000 short Oct 95.75/95.87/95.93 call flys
  • Eurodollar Options
    • +15,000 Green Mar 98.00 calls, 3.0 vs. 95.905/0.05%
    • 3,000 EDZ2 95.75 puts, 52.5 ref 95.28
  • Treasury Options:
    • Block, 10,000 TYX 110.25/111.5 put spds, 33 ref 111-07.5
    • 3,750 TYX2 109.5/110.75 put spds 12 over 113.25 calls ref 111-07
    • 2,000 FVX 105/106/107 put flys
    • Block -10,000 FVX2 106.25/107.25 put spds, 37.5
    • 5,000 TYX2 111/111.5/112 call flys
    • -20,000 TYX2 110.5/111.5 put spds, 29 ref 111-03.5
    • -20,000 FVX2 106/107 put spds, 26 ref 106-26
    • Block, 10,000 TYX 109/110 put spds 18 ref 111-00.5
    • -5,000 TYX 113/114 call spds, 12
    • -10,000 TYX 114 calls, 15, total volume near 30k
    • over 5,000 USX 120/125 put spds