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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS
Mixed trade on lighter volumes Friday, slightly better 10Y ratio put and SOFR put spreads on the day. Softer implied vol more a factor of lack of buying than concerted sellers ahead the weekend. Salient trade:
  • SOFR Options:
    • 4,000 OQ2 95.75 straddles
    • 2,750 SFRH3 95.56/95.68 call spds ref 95.195
    • Block, 2,500 SFRH3 95.31/95.43/95.56 call flys, 2.0 ref 95.185
    • Block, 4,000 SFRG 94.43/94.68 put spds, 0.5 ref 95.175
    • Block, 3,000 SFRU3 94.50/94.87/95.25 4x9x5 put flys at 41.5
    • Block, 3,000 SFRZ3 94.25/94.75/95.25 4x9x5 put flys at 42.5
    • Block, 10,000 SFRG3 95.18/95.31 call spds 3.75 over 94.75 puts vs. 95.155/0.27%
    • Block, 3,000 SFRG 95.37 calls, 2.75 ref 95.17
    • Block, 5,000 SFRU 97.00/97.50 call spds, 1.75 on splits, ref 95.325
    • Block 2,000 SFRZ3 95.12/95.25/95.50 broken put flys, 6.0 ref 95.655
    • 3,750 0GH3 96.25/96.75 put spds ref 96.125
  • Eurodollar Options:
    • 3,600 3EZ2 96.87 straddles ref 96.87 - expiring today
  • Treasury Options
    • 10,000 FVH 112 calls, 17-17.5 ref 109-18 to -18.5
    • 2,000 TYF 115.5 calls, 14 ref 114-29.5
    • Block/screen, 15,000 wk1 TY 112/113.5 3x2 put spds, 27 ref 114-22
    • 10,000 FVH 112 calls, 17-17.5 ref 109-18 to -18.25
    • 3,000 TYF 114.5 calls, 25 ref 114-13.5
    • Block, 9,000 TYF 113.25 puts, 5 ref 114-22
    • 2,500 TYG 110.5/111/112/113 broken put condors
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