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Rate Cut Plays Added And Faded Tuesday As CPI Comes In Line

OPTIONS

Tuesday's US rates / bond options flow included:

  • SFRM3 94.81/94.87cs, traded for 1.25 in 1k.
  • SFRM3 94.81c, traded for 1.5 in 2.5k.
  • SFRM3 94.81/94.75/94.68p fly, traded for 1.25 in 1k.
  • SFRM3 94.87/94.81/94.75/94.68p condor traded for 3 in 4k.
  • SFRU3 94.75/94.62/94.50p fly, traded 2 in 1k.
  • 0QM3 95.87/96.00/96.12c fly, traded 1.5 in 1.5k.
  • 0QM3 95.68/95.43ps 2x3, traded for 11 and 11.5 in 9k.
  • 0QU3 95.75p, traded 17.5 in 3k.
  • SFRM4 98.00/99.00cs traded for 7.5 in 10k.
  • SFRN3 94.50/94.62/94.75c fly, bought for 2.5 in 1k
  • SFRU3 94.87/95.00/95.12/95.25c condor, bought for flat in 2.5k
  • SFRU3 94.8125/94.9375 call spread 2.5K lots blocked at 3.5. CME email suggests a buyer of the call spread. Covered vs. selling of the underlying SFRU3 at 94.735 with a delta of +9%.
  • SFRU3 94.75/94.62/94.50 put fly bought for 2.25 up to 2.5 in 25k all day

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