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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS

Pick-up in FI option volumes Thursday, flow more mixed but leaning toward low delta calls, call spreads as underlying futures rebounded from midweek selling.

  • SOFR Options:
    • Block, 9,750 SFRM3 94.62/95.00/95.37 put flys, 10.0
    • +20,000 SFRZ3 96.50/97.50 call spds, 12.25
    • +2,000 SFRZ3 95.50/96.00/96.50 call trees, 2.0 ref 95.52
    • +5,000 2QH3 96.12/96.25/96.50 broken put flys, 5.25
    • 2,000 OQF3 95.87 puts, 12.5 ref 95.885
    • +2,500 2QF3 96.12/96.37/96.62 put flys, 4.75
    • 3,800 2QG3 96.12/96.37/96.62 put flys ref 96.69
    • 1,500 SFRZ3 94.81/95.00/95.18/95.37 put condors ref 95.525
  • Eurodollar Options:
    • Block, 10,000 EDH3 95.00 calls vs. 95.00/96.06 put spds
    • 3,500 EDF3 95.25 calls, 1.25 ref 94.96
  • Treasury Options:
    • 12,224 wk5 TY 112/113 call spds, 30 ref 112-16.5
    • Over 12,000 TYG 112.5 puts, 104-103 ref 112-10.5 to -11.5
    • +3,000 wk2 TY 110.5 puts, 13 vs. 112-07.5
    • 1,000 TYG 109/111 3x2 put spds, 31 ref 112-07
    • 1,800 TYH 107.5/108/109 broken put flys, ref 112-14
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