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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS

The number of varied trades made up for modest overall volumes Friday. two-way flow as underlying futures steadily reversed post-NFP sell-off as 50bp hike in Dec still priced in (curves flatter as prospect of slower hikes in 2023 cooled, however).

  • Early trade summary carried over into the second half: better upside call hedging in SOFR options ahead key employment data while Treasury options saw better 10Y put interest. SOFR upside insurance call buying continued through midday while Treasury option focus on puts.
  • SOFR Options:
    • 10,100 SFRZ2 95.187 puts, cab ref 95.4725
    • Block, 4,000 SFRG3 95.18/95.37 call spds 5.5 ref 95.085
    • Block, 5,000 short Mar 97.37/97.62/97.75 broken call flys, 4.0 net ref 96.965
    • 6,700 short Jan 95.87 puts, 11.5 ref 96.19
    • Block, 1,845 short Dec 95.87/96.12 call spds 6.5 vs. 95.755/0.20%
    • Block, 3,500 SFRM3 94.12/94.50/95.12/95.50 call condors, 17.0 ref 95.205
    • Block, 1,250 short Apr 96.5/97.50 call spds 12.5 over Blue Apr 97.5 calls
    • Block, 2,641 SFRZ 95.5/95.56 call spds .75 over SFRZ 95.31/95.37 put spds
    • 2,000 short Mar 96.75/97.12/97.37 call flys ref 96.155
    • Block, 1,250 SFRZ2 95.31/95.43/95.56 call flys, 12.0 ref 95.49
    • Block, 5,000 SFRM3 95.00/95.25 call spds, 12.5 ref 95.17-.175
    • Block, 2,000 SFRG3 95.31/95.37 call spds, 1.5 ref 95.155
  • Eurodollar Options:
    • 5,000 Mar 99.50/99.75 put spds
    • 10,000 Dec 96.25/96.50 put spds
    • 5,500 Mar 97.87/98.12 put spds
    • 2,000 Dec 94.56/94.81/95.12/95.37 broken put condors ref 95.145
  • Treasury Options:
    • 5,000 TYF 108 puts, 1 ref 114-23
    • 3,000 TYF 115.5 calls, 38 ref 114-24.5
    • 1,000 TYG3 111.5/113 3x2 put spds, 19
    • 2,000 TYF3 112.25/112.75 put spds, 6
    • 4,000 TYF 115/116.5 call spds, 31
    • 14,100 TYF 113.5 puts, 31-32 ref 114-20 to -19.5
    • 2,800 TYG3 108 puts, ref 114-20.5 to -21
    • 1,800 TYH3 113/114.5/116/117 broken call condor
    • 2,000 TYF 115 calls, 45
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The number of varied trades made up for modest overall volumes Friday. two-way flow as underlying futures steadily reversed post-NFP sell-off as 50bp hike in Dec still priced in (curves flatter as prospect of slower hikes in 2023 cooled, however).

  • Early trade summary carried over into the second half: better upside call hedging in SOFR options ahead key employment data while Treasury options saw better 10Y put interest. SOFR upside insurance call buying continued through midday while Treasury option focus on puts.
  • SOFR Options:
    • 10,100 SFRZ2 95.187 puts, cab ref 95.4725
    • Block, 4,000 SFRG3 95.18/95.37 call spds 5.5 ref 95.085
    • Block, 5,000 short Mar 97.37/97.62/97.75 broken call flys, 4.0 net ref 96.965
    • 6,700 short Jan 95.87 puts, 11.5 ref 96.19
    • Block, 1,845 short Dec 95.87/96.12 call spds 6.5 vs. 95.755/0.20%
    • Block, 3,500 SFRM3 94.12/94.50/95.12/95.50 call condors, 17.0 ref 95.205
    • Block, 1,250 short Apr 96.5/97.50 call spds 12.5 over Blue Apr 97.5 calls
    • Block, 2,641 SFRZ 95.5/95.56 call spds .75 over SFRZ 95.31/95.37 put spds
    • 2,000 short Mar 96.75/97.12/97.37 call flys ref 96.155
    • Block, 1,250 SFRZ2 95.31/95.43/95.56 call flys, 12.0 ref 95.49
    • Block, 5,000 SFRM3 95.00/95.25 call spds, 12.5 ref 95.17-.175
    • Block, 2,000 SFRG3 95.31/95.37 call spds, 1.5 ref 95.155
  • Eurodollar Options:
    • 5,000 Mar 99.50/99.75 put spds
    • 10,000 Dec 96.25/96.50 put spds
    • 5,500 Mar 97.87/98.12 put spds
    • 2,000 Dec 94.56/94.81/95.12/95.37 broken put condors ref 95.145
  • Treasury Options:
    • 5,000 TYF 108 puts, 1 ref 114-23
    • 3,000 TYF 115.5 calls, 38 ref 114-24.5
    • 1,000 TYG3 111.5/113 3x2 put spds, 19
    • 2,000 TYF3 112.25/112.75 put spds, 6
    • 4,000 TYF 115/116.5 call spds, 31
    • 14,100 TYF 113.5 puts, 31-32 ref 114-20 to -19.5
    • 2,800 TYG3 108 puts, ref 114-20.5 to -21
    • 1,800 TYH3 113/114.5/116/117 broken call condor
    • 2,000 TYF 115 calls, 45