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Late Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Carry-over upside call trade in SOFR options overnight following Fri's 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).
  • SOFR Options:
    • Block, +10,000 SFRZ2 95.75/95.87 call spds, 1.0
    • Update +60,000 SFRZ2 95.75/95.87 call spds, 0.75
    • -3,000 SFRF3 95.75 calls 5.0 ref 95.125
    • Block, 15,000 SFRZ2 95.75/96.00/96.25 call flys, 0.75
    • 8,500 Block/screen SFRZ2 95.37/95.50/95.56/95.68 call condors
    • 3,000 short Aug 95.25 puts
    • Block, 8,880 SFRZ2 95.00/95.12/95.25/95.37 put condors, 5.0-5.5
  • Treasury Options saw better put volumes :
    • 4,000 TYZ 104.25 puts, 5
    • 4,200 FVZ 105.25 puts, 26
    • Block, 10,000 FVZ2 105 puts, 25.5 ref 106-04.75
    • 5,000 TYZ 109/110 put spds, 25-27
    • 10,000 Block/screen TYZ 108 puts, 33-32
    • Block, total 15,000 FVZ 105.25 puts, 28-23
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