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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS

Variety of trades made up for modest overall option volumes Tuesday, better put volumes in SOFR options on net with early buys evaporating as underlying climbed post-PPI; Tsy options saw better call interest overall. Highlight Trades include:

  • SOFR Options:
    • -5,000 SFRU3 94.00 puts, 6.0 vs. 95.36/0.08%
    • +3,000 SFRM3 95.00 straddles 65-65.5
    • +2,500 SFRH3 94.37/94.50/94.75 put flys, 2.5
    • Block, total 8,000 SFRF 94.75/95.00/95.25 put flys, 6.0 ref 95.15
    • 2,000 SFRZ2 96.75 calls, cab
    • 4,000 SFRZ2 94.25 puts, ref 95.645
    • Block, 4,000 SFRZ2 95.56/95.68 call spds, 0.75 ref 95.48
  • Eurodollar Options:
    • +15,000 EDU3 95.12 calls 3.5 over SFRU3 95.37 calls, 3.5
  • Treasury Options:
    • +3,500 TYZ 113.5 calls, 17 vs. 112-20.5/0.28%
    • -3,000 TYH 113 straddles, 333-334
    • -3,500 TYF 113.114.5 2x3 call spds 41-40
    • +8,000 TYZ2 113 calls, 27-28 vs. 112-23
    • +4,800 TYG 115/118 call spds, 34 vs. 112-25.
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