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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Monday's Columbus day bank holiday hampered liquidity w/ trade volume limited to Globex. Mixed flow as decent downside put insurance buying outpaced sporadic call trades as chances of 75bp rate hike in November continued to firm. Salient trades:
  • SOFR Options:
    • 10,000 SFRV2 95.43/95.56 2x1 put spds
    • 10,000 SFRV2 95.43 puts
    • 2,000 SFRX2 95.81/95.93/96.06 call flys
    • 1,050 SFRZ2 96.00/96.12/96.25/96.37 call condors
    • Block, 4,000 SFRZ2 96.00/96.25 call spds, 1.75 ref 95.535
    • 4,000 SFRZ2 97.75 calls
  • Eurodollar Options:
    • 7,500 EDH3 94.37/95.12/95.62 put flys
    • 4,000 Dec 95.18/95.37 3x2 put spds
    • 6,300 EDZ2 95.50/95.75 call spds
    • 8,000 EDZ2 95.12/95.37 put spds
  • Treasury Options:
    • 4,000 TYX2 115 calls, 2
    • 2,000 TYZ2 106 puts, 18
    • 3,000 TYZ 110/111 put spds, 27
    • 3,100 FVZ 111.5/112.5 call spds
    • 3,000 TYZ2 107.5/110/112.5 put flys
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