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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS

Better put and put spd volume carried over from overnight trade - despite the strong rebound in 2s-10s amid speculation over a 75bps hike at year end (WSJ/Timiraos) underscored by midday comments from SF Fed Daly (FOMC needs to start considering a slowing the pace of interest rate hikes in order to avoid tightening monetary policy too much). Outright positioning for two more 75bp hikes this year with some strike roll-downs continued.

  • SOFR Options:
    • Block, 3,000 SFRZ2 95.37/95.50/95.62/95.87 broken put condors, 3.5 ref 95.405
    • Block, 10,000 SFRZ2 95.00/95.12/95.25/95.37 put condors, 5.25
    • Block, 20,000 SFRH3 94.75/95.50 put spds, 40.0 ref 95.105
    • Block/screen, +14,000 SFRZ2 95.75/96.00 call spds, 1.0 ref 95.385
    • Block, 4,000 SFRG3 94.25/94.50/94.75 put flys, 3.0
    • Block, 3,000 SFRX2 95.37/95.50/95.62 put trees, 3.0
    • Block, 2,000 SFRZ2 95.31/95.43/95.56 call flys, 1.75
    • Block, 10,000 SFRM3 94.75/95.00 put spds vs.
    • Block, 7,000 SFRM3 95.25/95.50 put spds -- another 8,500 on screen
  • Eurodollar Options:
    • +4,000 EDZ2 94.62/97.75 put spds, 4.5
    • 2,500 EOZ 94.12/94.62 put spds
  • Treasury Options:
    • +10,000 TYF 103/104 put spds, 5
    • 3,000 TYZ 108.5/109.5 put spds 9 over TYZ 111.5/112.5 call spds
    • 5,000 TYZ 113 calls, 13
    • 3,000 TYZ 105/106.5 put spds, 8
    • 2,500 FVZ 106.5 calls, 33.5 ref 105-21.75
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