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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Prior to the underlying sell-off, option trade was primarily two-way with unwinds apparent. Put selling evaporated as futures continued to price in increased chances of 75bp hikes at both the November and December.

  • SOFR Options:
    • Block, 10,000 SFRF3 94.75 puts, 12.0 ref 95.12
    • Block, 4,000 SFRF3 94.56/94.68/94.93 put flys, 5.0
    • 6,700 SFRZ2 95.00 puts
    • 6,000 short Dec 94.62/94.87 put spds
    • Block, +10,000 SFRZ2 94.87 puts, 14.5
    • Block, 4,000 SFRF 94.75/94.87 put spds, 0.5 over SFRX2 95.62 calls
    • Block, 7,500 SFRm2 94.25/94.50/95.00 broken put flys
  • Eurodollar Options:
    • -30,000 Mar 95.75/95.87/96.12 put flys, 11.75
    • +15,000 Jan 95.25/95.43/95.81 call trees, 0.0
    • 2,500 Dec 95.75/96.75 call spds
  • Treasury Options:
    • 6,300 FVZ 111 calls, 3.5; 7,400 TYX2 115.5 calls, 11; 4,000 TUZ2 104 calls
    • 8,000 TYX 109.25 puts, 10
    • 7,500 TYX2 110 puts, 15 ref 111-05.5
    • 3,000 TYZ2 108/110 put spds, 31
    • 7,800 FVZ2 106.25 puts, 40.5
    • 20,000 TYX2 108/109 put spds,

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