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US TSYS

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Late Eurodollar/SOFR/Treasury Option Roundup: Unwinds

US TSYS
Theme of the day: Taking profits by accts that had sold a wide array of puts/put spds anticipating some measure of a rebound in the underlying on hopes the BoE would take action to calm markets following last Fri's tax cut plan. Multiple unwinds in 10- and 30Y spreads, upside call buying on the day. Salient trade:
  • SOFR Options:
    • Block, 10,000 SFRH3
    • Block, 5,000 SFRZ2 96.00/96.25 call spds, 4.25
    • +35,000 SFRZ2 95.87/96.00 call spds, 3.5 vs. 95.71/0.10%
    • Block, 4,000 short Dec SOFR 97.75 calls, 1.5 ref 95.795
    • Block, 5,000 SFRZ2 95.56/95.68 put spds, 4.5
    • Blocks, 27,000 SFRF3 96.37/96.62 call spds, 3.0-3.5
    • Block, 4,250 SFRZ3 94.00 puts, 23.5
    • 6,500 SFRZ2 96.37 calls, 4.5
    • Blocks, 30,000 SFRX2 96.12/96.50 call spds, 2.5 - >15k more on screen
  • Eurodollar Options:
    • Blocks total 20,000 Dec 95.12/95.25/95.5/96.0 broken put condors, 36.5
    • +2,500 Dec 94.75/96.00 strangles, 9.0
    • 6,500 short Dec 97.37/98.00 call spds, ref 95.52
  • Treasury Options:
    • +10,000 TYX 110.5 puts, 34
    • 10,000 TYX2 108.75 puts, 16
    • +20,000 (10k Blocked) TYX 109/110 put spds, 13 vs 111-30, unwind
    • +17,500 USZ 120/122 put spds, 13-17, cover sale at 38 on Tue
    • Block, 5,000 TYX2 109 puts, 38 ref 110-27.5
    • 10,000 TYX2 112.5 calls, 52 ref 111-17
    • 10,000 wk1 TY 109/110 put spds, 13
    • 4,500 FVX2 106 puts, 28
    • Block, 10,000 TYX2 112.5 calls, 45 ref 111-07.5
    • Block/screed, >53,000 FVX2 106.75 puts, 35.5-50.5
    • Block, 2,500 FVX2 106.5 puts, 43
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Theme of the day: Taking profits by accts that had sold a wide array of puts/put spds anticipating some measure of a rebound in the underlying on hopes the BoE would take action to calm markets following last Fri's tax cut plan. Multiple unwinds in 10- and 30Y spreads, upside call buying on the day. Salient trade:
  • SOFR Options:
    • Block, 10,000 SFRH3
    • Block, 5,000 SFRZ2 96.00/96.25 call spds, 4.25
    • +35,000 SFRZ2 95.87/96.00 call spds, 3.5 vs. 95.71/0.10%
    • Block, 4,000 short Dec SOFR 97.75 calls, 1.5 ref 95.795
    • Block, 5,000 SFRZ2 95.56/95.68 put spds, 4.5
    • Blocks, 27,000 SFRF3 96.37/96.62 call spds, 3.0-3.5
    • Block, 4,250 SFRZ3 94.00 puts, 23.5
    • 6,500 SFRZ2 96.37 calls, 4.5
    • Blocks, 30,000 SFRX2 96.12/96.50 call spds, 2.5 - >15k more on screen
  • Eurodollar Options:
    • Blocks total 20,000 Dec 95.12/95.25/95.5/96.0 broken put condors, 36.5
    • +2,500 Dec 94.75/96.00 strangles, 9.0
    • 6,500 short Dec 97.37/98.00 call spds, ref 95.52
  • Treasury Options:
    • +10,000 TYX 110.5 puts, 34
    • 10,000 TYX2 108.75 puts, 16
    • +20,000 (10k Blocked) TYX 109/110 put spds, 13 vs 111-30, unwind
    • +17,500 USZ 120/122 put spds, 13-17, cover sale at 38 on Tue
    • Block, 5,000 TYX2 109 puts, 38 ref 110-27.5
    • 10,000 TYX2 112.5 calls, 52 ref 111-17
    • 10,000 wk1 TY 109/110 put spds, 13
    • 4,500 FVX2 106 puts, 28
    • Block, 10,000 TYX2 112.5 calls, 45 ref 111-07.5
    • Block/screed, >53,000 FVX2 106.75 puts, 35.5-50.5
    • Block, 2,500 FVX2 106.5 puts, 43