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Key Support Remains Exposed


Pullback Extends, But Still Looks Corrective in Nature


FED Remains in Play Post-NFP/ISM Data

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SOFR/Treasury Option Roundup


Bullish tone in early option trade carries over from Monday, low delta call buyers, put unwinds noted below, Eurodollar option volumes absent.

  • SOFR Options:
    • 8,000 SFRZ2 95.75/95.87 call spds, 0.75, adds to +100k Mon 0.75-1.0
    • 3,000 SFRX 95.25/95.50 2x1 put spds
    • Block, 1,500 SFRX2 95.43/95.56 call spds 1 over Green Nov 96.75 calls
    • +2,500 SFRZ2 95.37/95.50/95.56/95.68 call condors, 4.0
    • 2,000 SFRZ2 96.06/96.75 1x2 call spds
  • Treasury Options:
    • -3,000 TYZ 109.5 puts, 59 vs. 110-05
    • +4,000 wk2 113/114 call spds, 6 ref 110-09.5
    • -24,000 TYZ 108/110 put spds, 41 ref 110-06.5, total over 30,000, unwind after paper bought at 36 vs. 111-09 a couple weeks ago
    • 3,000 FVZ 109 calls, 5.5 ref 106-13
    • 1,750 USZ 131/132 call spds
    • 1,250 USZ 112/115 put spds
    • Block, 5,000 TYZ 112.25 calls, 23
    • 1,500 TYZ 112 calls 1 over TYZ 107.5/109 put spds ref 109-28

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