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Key Support Remains Exposed


Pullback Extends, But Still Looks Corrective in Nature


FED Remains in Play Post-NFP/ISM Data

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Late Eurodollar/SOFR/Treasury Option Roundup

Much better put and put spread buying Thursday, focus on hedging tighter policy and effect on underlying futures. Salient trade, ongoing Green Dec'24 SOFR 93.50/94.00/94.50 put flys at 2.5 - adds to appr +33k late last week, same price. Green Dec SOFR futures currently trade 96.345. Additional trade highlights:
  • SOFR Options:
    • Block, +10,000 SFRX2 95.25/95.62/95.75 put trees, 6.0
  • Eurodollar Options:
    • 4,500 Mar 94.50/94.75/95.00 put trees vs. Mar 95.25/95.62/96.00 call trees
  • Treasury Options:
    • Block, +10,000 FVZ2 106/107.25 put spds put spds, 27.5
    • Block, 7,500 TYX2 109.5/111.5 put spds, 28 ref 112-12.5
    • 2,500 TYZ2 112.5 puts, 138
    • Block, 7,500 TYX2 109/112 put spds, 38 ref 112-11.5
    • Block, 7,500 TYZ2 110/111.5 put spds, 54 ref 112-10.5
    • Block, 3,750 FVZ2 107.25 puts, 50.5 ref 107-24.25

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