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Late SOFR/Eurodollar/Treasury Option Roundup: Puts Return

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Downside insurance buyers via puts, absent since the Oct CPI miss renewed hopes for rate hike step-down in December into early 2023 (and eventually revitalizing talk of rate cuts later next year), are seeing a comeback on today's sell-off in Eurodollar and SOFR futures: Reds (Dec'23-Sep'24) -0.120-0.140.
  • SOFR Options:
    • Block, 5,000 SFRH4 95.00/95.25/95.50/95.75 put condors, 3.5
    • Block, 3,000 short Dec 95.50/Green Dec 96.12 put spds, 14.5
    • Block, total 8,000 short Jan 95.25/95.37/95.62 broken put flys, 5.0 ref 95.885
    • -15,000 SFRZ2 95.50/95.68 call spds, 2.75-2.25
    • 3,500 short Dec 95.12/95.37/95.62 put flys
    • Block, 8,000 SFRZ 95.75/95.87 call spds, cab, more on screen
    • 4,000 short Dec 96.00 calls, 6.5-7.0 ref 95.63 -64.5
    • Block, 4,500 SFRH4 95.00/95.25/95.50/95.75 put condors, 3.5
    • Block, 2,500 Green Dec 96.12/96.25/96.50 broken put flys, 4.5
  • Eurodollar Options:
    • Block, 10,000 Dec 95.06/95.25 call spds, 3.0 ref 95.005
    • -5,000 Dec 95.00/95.12 call spds, 4.5
    • 2,500 Dec 94.75/94.87/95.00 put flys ref 95.015
  • Treasury Options:
    • +3,800 TYH 109.5/110 put strip, 135-138
    • -2,500 TYH 111/115 strangles, 204
    • -4,000 TYZ2 111.75/112.75 call spds, 43 ref 112-21.5
    • +5,000 TYZ 111.5 puts, 12 ref 112-17
    • 4,400 TYZ 113/114 call spds, 24
    • 11,600 FVZ 106.75 puts, 3 ref 108-03.5
    • 3,300 FVZ 108.25 calls ref 108-04
    • 2,500 TYZ 113.75 calls 5 over 111.75/112.5 put spds ref 112-31
    • 7,500 TYZ 114 calls, 12 ref 113-01.5
    • 3,600 TYZ 111 calls, 219 ref 113-04.5
    • 2,700 TYF 111.5/114.5 call spds ref 113-14
    • 3,600 FVF 107.75/108.5 call spds ref 108-18.75
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Downside insurance buyers via puts, absent since the Oct CPI miss renewed hopes for rate hike step-down in December into early 2023 (and eventually revitalizing talk of rate cuts later next year), are seeing a comeback on today's sell-off in Eurodollar and SOFR futures: Reds (Dec'23-Sep'24) -0.120-0.140.
  • SOFR Options:
    • Block, 5,000 SFRH4 95.00/95.25/95.50/95.75 put condors, 3.5
    • Block, 3,000 short Dec 95.50/Green Dec 96.12 put spds, 14.5
    • Block, total 8,000 short Jan 95.25/95.37/95.62 broken put flys, 5.0 ref 95.885
    • -15,000 SFRZ2 95.50/95.68 call spds, 2.75-2.25
    • 3,500 short Dec 95.12/95.37/95.62 put flys
    • Block, 8,000 SFRZ 95.75/95.87 call spds, cab, more on screen
    • 4,000 short Dec 96.00 calls, 6.5-7.0 ref 95.63 -64.5
    • Block, 4,500 SFRH4 95.00/95.25/95.50/95.75 put condors, 3.5
    • Block, 2,500 Green Dec 96.12/96.25/96.50 broken put flys, 4.5
  • Eurodollar Options:
    • Block, 10,000 Dec 95.06/95.25 call spds, 3.0 ref 95.005
    • -5,000 Dec 95.00/95.12 call spds, 4.5
    • 2,500 Dec 94.75/94.87/95.00 put flys ref 95.015
  • Treasury Options:
    • +3,800 TYH 109.5/110 put strip, 135-138
    • -2,500 TYH 111/115 strangles, 204
    • -4,000 TYZ2 111.75/112.75 call spds, 43 ref 112-21.5
    • +5,000 TYZ 111.5 puts, 12 ref 112-17
    • 4,400 TYZ 113/114 call spds, 24
    • 11,600 FVZ 106.75 puts, 3 ref 108-03.5
    • 3,300 FVZ 108.25 calls ref 108-04
    • 2,500 TYZ 113.75 calls 5 over 111.75/112.5 put spds ref 112-31
    • 7,500 TYZ 114 calls, 12 ref 113-01.5
    • 3,600 TYZ 111 calls, 219 ref 113-04.5
    • 2,700 TYF 111.5/114.5 call spds ref 113-14
    • 3,600 FVF 107.75/108.5 call spds ref 108-18.75