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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Varied trade on moderate volumes Tuesday - no follow through from Monday's better upside call buying even as underlying futures gapped higher following lower than expected Nov CPI data. If there was a discernible theme to option trade ahead Wed's FOMC annc it would be position unwinds, implied vol weaker as accts unwound both call and put positions. Highlight trade:
  • SOFR Options:
    • Blocks, total -9,000 short Mar 97.50 calls, 2.5 vs. 96.15/0.10%
    • +10,000 short Jun SOFR 95.00/95.50 put spds, 6.0
    • +5,000 short Dec SOFR 95.62/95.75 2x1 put spds, 0.75
    • Block, 2,500 SFRZ2 95.37/95.50 call spds, 11.5
    • Block, 3,000 short Dec SOFR 95.87/96.00 call spds 1.5 over short Dec 95.50
    • Block, total 7,750 SFRF 95.00/95.12 put spds, 3.0 ref 95.20 to .195
    • Block, 3,000 short Mar SOFR 95.00/95.25 put spds, 2.0 ref 96.21
    • Block, +3,500 SFRM4 93.00/94.00 put spds, 5.5 ref 96.41
    • 3,000 SFRZ2 95.56 calls, cab
    • Block, 5,000 short Jan 96.25 calls, 12.5 ref 95.98
  • Eurodollar Options:
    • +20,000 EDM395.25/95.50 call spds, 5.5 ref 94.96
  • Treasury Options:
    • -5,000 wk3 TY 113.5/114/114.5 iron flys, 27 vs. 114-15.5/0.05%
    • 5,000 TUG/TUH 104 call spds ref 103-01.75
    • 1,500 TYH 108/111 2x1 put spds, 8 ref 114-25.5
    • -10,000 FVG 107.5 puts, 14-16
    • -5,000 FVF 110 calls 21.5-21
    • over 6,000 FVF 110 calls, 21 ref 109-21 to -21.5
    • 1,750 FVF 109/109.75/110.5 call trees, 20.5
    • over 8,000 TYG 111.5 puts, 17 ref 115-08 to -07
    • 2,000 TYF 114.25/114.75 put spds, 13
    • 4,000 TYH 120/122/124 call flys
    • 5,000 USG3 122/126 put spds, ref 131-12
    • 3.100 TYF 110.75 puts ref 113-30.5
    • 4,000 TYF 112/113 put spds, 17
    • 1,700 TYF 117 calls, ref 113-31
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