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Late SOFR/Treasury Options Roundup

US TSYS

Thursday FI option trade centered on two-way call positioning as opinion over FOMC hike pricing into year-end fluctuated. Much better Tsy option volumes, Eurodollar volumes scant.

  • Some highlight trade/blocks included: +10,000 TYZ2 113.25 calls, 35 ref 111-21 followed by another 12k on screen soon after. Same premium paid for the TYZ 113 calls a few minutes prior - moving up strikes as underlying continues to rally.
  • Traders reporting two-way skew trade in upside calls as underlying ratchets higher:
  • -5,000 TYZ2 109.5/113.75 call over risk reversal after +7,500 wk2 TY 112/TYF 113 call diagonal from 20-21.
  • On the flipside: early put buyers fading the initial post-ECB bounce: Block, +10,000 TYZ 109.25 puts, 30, another 9,000 on screen in addition to 4,000 TYZ2 108/109 put spds, 10 ref 111-15.5.
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