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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Another volume challenged session, accts already sidelined prior to all the data, and not thinking too deep ahead next week's holiday closures. Consistent themes: more interest in buying upside calls since last week's surprise CPI miss put year end policy pivot back on the radar. Wed's underlying rally despite stronger than expected retail sales failed to generate much follow through derivatives trading.
Highlight trade:
  • SOFR Options:
    • Update, +20,000 SFRU3 95.62/97.00 call spds, 24.0-24.5
    • Block, 5,000 SFRM 94.00/short Jun 94.50 put spds, 0.5 net midcurve over
    • +25,000 SFRZ3 96.00/97.50 call spds, 30-30.5
    • 2,000 SFRG 95.18/95.31/95.43 call flys ref 95.14
    • Block, 2,500 Green Mar'23 97.00 calls, 25.0 vs. 96.805/0.40%
    • 2,000 short Mar 94.00/94.50/95.50 broken put flys
  • Eurodollar Options:
    • 4,000 short Jun 98.87/99.12 call spds, ref 96.075
  • Treasury Options:
    • 2,750 TYZ 112.75/114 1x2 call spds, 19 net ref 113-01.5
    • 2,500 TYZ2 111.5/112.5 2x1 put spds
    • Block, 7,500 TYZ 113/113.5 1x2 call spds, 11 2-leg over
    • +5,000 TYZ 113.5 calls, 25 vs. 113-03.5
    • 5,000 TYZ 109 and 108.5 puts at 1
    • 2,500 TYZ 113.75 calls, 9 ref 112-20
    • 4,000 TYF 114/116 call spds ref 112-19.5
    • 3,800 TYF 116.5 calls, 12 ref 112-21
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Another volume challenged session, accts already sidelined prior to all the data, and not thinking too deep ahead next week's holiday closures. Consistent themes: more interest in buying upside calls since last week's surprise CPI miss put year end policy pivot back on the radar. Wed's underlying rally despite stronger than expected retail sales failed to generate much follow through derivatives trading.
Highlight trade:
  • SOFR Options:
    • Update, +20,000 SFRU3 95.62/97.00 call spds, 24.0-24.5
    • Block, 5,000 SFRM 94.00/short Jun 94.50 put spds, 0.5 net midcurve over
    • +25,000 SFRZ3 96.00/97.50 call spds, 30-30.5
    • 2,000 SFRG 95.18/95.31/95.43 call flys ref 95.14
    • Block, 2,500 Green Mar'23 97.00 calls, 25.0 vs. 96.805/0.40%
    • 2,000 short Mar 94.00/94.50/95.50 broken put flys
  • Eurodollar Options:
    • 4,000 short Jun 98.87/99.12 call spds, ref 96.075
  • Treasury Options:
    • 2,750 TYZ 112.75/114 1x2 call spds, 19 net ref 113-01.5
    • 2,500 TYZ2 111.5/112.5 2x1 put spds
    • Block, 7,500 TYZ 113/113.5 1x2 call spds, 11 2-leg over
    • +5,000 TYZ 113.5 calls, 25 vs. 113-03.5
    • 5,000 TYZ 109 and 108.5 puts at 1
    • 2,500 TYZ 113.75 calls, 9 ref 112-20
    • 4,000 TYF 114/116 call spds ref 112-19.5
    • 3,800 TYF 116.5 calls, 12 ref 112-21