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Eurodollar/SOFR/Treasury Option Roundup

US TSYS
Better overall volumes, mixed trade as underlying rates see-saw on volatile first half, short end buffeted by renewed speculation over 75bps hike in September as hawkish ECB policy talk filters through US markets. Highlight trade:
  • SOFR Options:
    • -10,000 SFRZ2 96.50/97.00 call spds, 6.75
    • -10,000 SFRV2 96.12/96.25 put spds 5.5 vs. 96.225/0.12%
    • Block, 2,500 short Mar SOFR 96.75/short Sep'23 97.00 put spds, 15.0
    • 4,500 SFRH3 93.00/94.00/95.00 put flys
    • +10,000 SFRM3 95.62/95.75/96.00 put flys, 5.5
    • +7,500 SFRZ2 96.87/97.00 call spds, 1.0
  • Eurodollar Options:
    • +5,000 Red Sep'23 95.25/95.50/96.00 put flys, 12.25
    • 2,300 Green Sep 97.25/98.25 call spds
    • 4,500 Green Dec 95.50/96.00 put spds
    • -4,000 short Sep 96.00/96.12 put spds, 5.75
    • 5,000 short Sep 96.25/96.50 1x2 call spds
  • Treasury Options:
    • 2,000 TYX 114/120.5 strangles
    • 5,000 TYV 113/114 put spds, 3
    • -5,000 FVZ 111.5 puts 130-129
    • 2,125 TYZ 114/117 3x2 put spds , 3net
    • 2,000 FVZ 111 puts, 110
    • +3,000 TYX 120 calls, 28-27
    • 2,000 TYX 120.5 calls, 21
    • 9,000 TYV 120 calls, 10-9
    • +1,500 TYV 117.5 straddles, 159
    • 3,000 TYZ 122/123 call spds, 5
    • 2,000 TYV 113/115.25 put spds
    • 2,000 TYV 115.75/117.25 put spds vs. 118.5 calls
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