Late SOFR/Eurodollar/Treasury Option Roundup

Light holiday volume revolved around low delta puts in Tsy 10Y, Eurodollar and SOFR options Wednesday, largely traded prior to underlying futures giving up early gains to weaker in the second half.

• SOFR Options:
  • +4,000 SFRM3 94.68/94.75 put spds, 1.75
  • Block, 5,000 SFRF 94.81/94.93/95.06 put flys, 2.0 ref 95.11
  • -15,000 2QH 97.37/97.62/97.75 call flys, 2.0 vs. 96.735/0.05%
  • -1,200 SFRZ4 97.00 straddles, 162.5
  • 2,500 OQF3 96.25 calls, 4.5 ref 95.935
  • 2,000 OQJ3 96.75/97.00 call spds ref 96.31
• Eurodollar Options:
  • 4,000 EDM3 94.75 puts, 18.5 ref 94.87-.875
• Treasury Options:
  • 2,500 FVH 107/109 strangles, 107 ref 107-30
  • 2,500 TYH 110.5/111.5 put spds, 26 ref 112-09.5
  • 2,000 FVG 103.5 puts, 1 ref 107-30.75
  • 4,000 TYG 116.5 calls, 5 ref 112-15.5
  • 3,000 TYG 117.5 calls, 3 ref 112-16.5
  • 5,000 wk5 TY 112.25 puts, 10 ref 112-20
  • 1,500 TYG 109.75 puts ref 112-17.5
  • 4,000 TYH 107.5/108/109 broken put flys ref 112-16 to -16.5
  • 1,250 TYG 111 puts vs 112.75/114 call spds, 0.0 ref 112-16.5