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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Mixed low delta trade continued through the session, rate hike insurance buyers ongoing, early upside calls looking for a bounce in the underlying, particularly Dec expirys as futures price in two more 75bps hikes by year end - evaporated in the second half.
  • SOFR Options:
    • +6,000 SFRF3 95.37/95.62 call spds, 4.75
    • Block, 4,750 SFRX2 95.31/95.43/95.56 put flys, 2.5 - after fly crossed on 2x5x3 ratio earlier at 1.0
    • Block, 1,666 x3 short Jun 95.25/95.50 put spds vs. 96.75/97.50 call spds on 3x4 ratio
    • Block, 1,250 SFRZ2 95.31/95.43/95.56 2x5x3 call flys, 1.0 net/wings over
  • Eurodollar Options:
    • +10,000 Dec 94.87/95.12 call spds, 6.25 ref 94.835
    • -20,000 EDH3 94.75/95.00 put spds, 15.0 ref 94.725-.73
    • +10,000 EDZ2 97.00 calls, 18.0 vs. 95.07/0.12%
    • +4,000 EDU4 98.00/99.00 1x2 call spds, 2.5
    • +8,000 EDZ2 94.50 puts, 1.75 ref 94.84/0.08%
  • Treasury Options:
    • +3,000 TYX2 109.75 calls, 9 ref 109-14
    • -5,000 TYZ 112.5 calls, 21 ref 109-16.5
    • Block, 5,000 TYZ2 106/108 put spds, 26 ref 109-28.5, more on screen
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