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Late SOFR/Eurodollar/Treasury Option Roundup

US TSYS

Low delta put and put spreads reported Friday, lighter volumes ahead the weekend. Underlying futures weaker but well off early session lows, cautious hedging ahead next Wednesday's FOMC policy anns.

  • SOFR Options:
    • Block, total 30,000 SFRM3 96.00/EDM3 95.87 call spds, 0.0
    • Block, 9,000 OQM3 95.50 puts, 5.0 vs. 96.50/0.10%
    • over +10,000 SFRK3 94.75/94.87 5x4 put spds, 3.25 (active strikes after paper bought SFRK3 94.75/95.00 2x1 put spds and 94.75/94.87/95.00 put flys over last week; OI 57/686 in 94.75 put, 110,324 in 94.87 put)
    • 2,000 SFRZ3 96.50/97.00/97.50/98.00 call condors ref 95.59
    • Block/screen, 10,000 OQH3 95.62/95.87 put spds, 6.0-6.5 ref 96.085 -.08
    • 5,000 SFRM4 98.25/98.50 call spds, ref 96.555
  • Eurodollar Options:
    • 10,000 EDM3 94.75 puts, 5.5 ref 94.92
  • Treasury Options:
    • 3,500 TYH3 114/117 call spds ref 114-15.5
    • over 13,000 TYG 115 puts, 39-37
    • 10,000 TUH3 102.25 puts, 4 ref 102-27
    • over 6,000 FVH 109 puts, 27.5-29.5 ref 109-10.25 -10
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