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Late SOFR/Eurodollar/Treasury Options Roundup

US TSYS

More consistent upside call and call spread buying reported Tuesday, though overall volumes fairly muted. Caution ahead Thursday's CPI inflation metric to gauge year-end policy stance. Salient trade:

  • SOFR Options:
    • +5,000 SFRM3 93.75/94.00 put spds, 2.0 ref 94.95/0.05%
    • 4,000 short Dec 96.62/99.00 call spds
    • Block, 2,000 SFRZ2 95.37/95.43/95.50/95.56 call condors, 2.25 ref 95.385
    • 2,000 SFRH 94.93/95.12/95.31 call flys
    • 3,000 SFRX2 95.56 calls
  • Eurodollar Options:
    • 2,000 Feb 95.00/95.25 call spds
    • 2,000 Dec 94.43/94.68/95.06/95.31 call condors
    • 4,200 Gold Jun 97.50 calls, 6.5 ref 95.95
  • Treasury Options:
    • 2,000 TYZ2 112/112.75 call spds, 8 ref 110-02.
    • 6,400 TYF3 111.5/114.5 call spds, 37 ref 110-12
    • +2,000 USZ 122/123/124 call flys, 5
    • +7,000 TYH2 112/116/120 call flys, 42
    • 2,500 TYZ2 112.25/112.75/113.75 broken call flys
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