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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Heavy volumes with better call buying on net Thursday as underlying rates gapped higher on softer than expected CPI inflation data. Receding rate hike expectations for year end/early 2023 spurred heavy call buying in SOFR and 5-10Y Treasury options, puts two-way with mix of position unwinds and new buys as some looked to fade the rally.
  • Salient trade: Block buy +75,000 FVH 111/112 call spds from 6-7 in early trade, +30,000 SFRZ2 95.62/95.75 call spds, 0.75 and +10,000 SFRZ2 95.75/95.87 call spds, 0.5. Put Sales include: -20,000 TYZ 108/109 put spds, 1.
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Heavy volumes with better call buying on net Thursday as underlying rates gapped higher on softer than expected CPI inflation data. Receding rate hike expectations for year end/early 2023 spurred heavy call buying in SOFR and 5-10Y Treasury options, puts two-way with mix of position unwinds and new buys as some looked to fade the rally.
  • Salient trade: Block buy +75,000 FVH 111/112 call spds from 6-7 in early trade, +30,000 SFRZ2 95.62/95.75 call spds, 0.75 and +10,000 SFRZ2 95.75/95.87 call spds, 0.5. Put Sales include: -20,000 TYZ 108/109 put spds, 1.