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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS

Modest trade volumes turned mixed after Friday's higher than exp PPI weighed on underlying futures, 10YY climbed to 3.5691% by the close. Highlight trade:

  • SOFR Options:
    • Block, 2,500 SFRZ4 99.50/100.0 1x2 call spds, 0.5 ref 96.905
    • Block, 6,000 short Mar SOFR 97.00/97.50 call spds, 4.0 ref 96.05
    • -15,000 short Jan 95.00/95.25/95.50 put flys, 1.5 ref 96.03
    • 5,500 short Dec SOFR 95.00/95.12/95.31/95.43 put condors ref 95.65
    • Block, 10,000 Green Jan SOFR 97.25/97.62 call spds, 8.0 ref 97.025
    • +10,000 SFRZ 97.50 calls, 12.0
    • Block, 2,000 short Dec 95.43/95.62 2x1 put spds, 1.5 vs. 95.63/0.09%
    • appr 13,000 SFRZ 95.56 calls, cab
    • 4,000 SFRZ 95.50/95.56/95.62 call flys, 1.0 ref 95.4775
    • 2,000 Green Jan SOFR 96.50/96.75 3x2 put spds ref 97.065
  • Eurodollar Options:
    • Block, 10,000 EDZ2 95.25/95.37 call spds, 2.75 vs. 95.2475/0.42%
    • Block, 20,000 EDZ2 95.25/95.37 call spds, 2.5 vs. 95.2475/0.42%
    • 2,500 EDM3 94.62 puts, 21.5
  • Treasury Options:
    • 6,600 wk3 TY 113.25/114.25/115.25 iron flys, 45 ref 114-08
    • 6,000 TYF 111 puts, 3-4
    • 6,000 TYF 111/112 3x1 put spds, 1 net ref 114-07.5
    • 2,500 TYF 113.25 puts, 22-26 ref 114-14.5 to -10
    • 6,000 FVH 112.5 calls, 14.5 ref 109-01
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