Late SOFR/Eurodollar Option Roundup

Better low-delta put trade on net Tuesday, fading stronger underlying futures at the start of 2023.

• SOFR Options:
  • 24,600 2MF3 111.5/114 put over risk reversals, 2 ref 112-21.5
  • +30,000 SFRG3 95.06/95.18/95.31 call flys, 3.25-3.50
  • Blocks, total 15,000 SFRZ3 95.06/95.25 put spds,
  • Block, 2,500 SFRU3 94.68/94.81/94.93/95.06 put condors, 1.75
  • Block, 2,500 SFRZ3 94.68/94.81/94.93/95.06 put condors, 1.25
  • Block, 2,500 SFRM3 94.68/94.81/94.93/95.06 put condors, 2.5
  • +8,000 SFRM3 95.25/95.50 1x2 call spds, 2.25-2.0
  • +4,000 2QJ3 97.12/97.37 call spds, 7.75
  • 2,700 2QH3 96.87/97.37 2x3 call spds ref 96.80
  • 5,000 OQH3 95.25/95.75 put spds ref 95.92 to .915
  • Block, 2,500 OQH3 95.50/95.75 put spds, 8.0 vs. 95.955/0.13%
  • 2,100 SFRF 95.18/95.31 call spds
  • 3,000 OQF3 95.50/95.75/96.00 2x3x1 put flys ref 95.885
• Treasury Options:
  • Another 6,000 FVG 108 puts, 37.5 ref 108-01.25
  • Block, 20,000 FVG3 106 puts, 6 vs. 108-00.5/0.11%, 14.5k more on screen
  • 4,000 FVH 109.5/111/112.5 call flys, ref 108-07
  • 3,000 FVG 108 puts, 33 ref 108-07.75
  • 4,000 USG 116/118 put spds legged, 4 ref 126-20 to -16
  • 1,000 TYG 114/115/116/117 call condors
  • 2,000 TYG 112.75/113.75 call spds vs. 111.5 puts