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Late SOFR/Eurodollar/Treasury Option Roundup

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SOFR/Treasury Option Roundup

US TSYS

FI option trade turned mixed Wednesday from more consistent upside call buying in the prior session. Implied vol buoyed as underlying futures sold off following a poorly received 10Y note auction, early vol sellers evaporating ahead Thursday's key CPI data. Salient trade:

  • SOFR Options:
    • +16,200 SFRH3 97.00/98.50 call spds, 0.75 ref 94.94
    • Block, 2,000 Green Nov 96.18/96.31 1x2 call spds, 1.5 net ref 96.06
    • 4,000 Green Nov 96.31 calls ref 96.07
    • 4,000 short Jun 94.00/94.50 put spds ref 95.755
    • 4,000 SFRZ3 94.25 puts, ref 95.27 to -.275
  • Eurodollar Options:
    • -1,000 short Mar 95.00/95.50 strangles, 45.5
    • +10,000 Dec 95.00/95.12/95.25 call flys, 1.75
  • Treasury Options:
    • +7,250 wk3 FV 107.25/107.75 call spds, 3.5
    • +10,000 TYZ 108.75 puts, 17 ref 110-02.5
    • 4,000 TYZ 111.75/112.75 call spds
    • +5,000 TYZ2 111/112/113 call trees, 12
    • 3,200 TYF 114 calls, 12 ref 110-14.5
    • 3,000 TYF 112.5/113.5 call spds vs. TYF 105.5/106.5 put spds
    • 2,500 TYF 107/109 put spds
    • +4,300 FVF 104.5/105.25 put spds, 9 ref 106-22
    • Block, -10,000 FVZ 105.5/106.75 put spds, 33.5
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FI option trade turned mixed Wednesday from more consistent upside call buying in the prior session. Implied vol buoyed as underlying futures sold off following a poorly received 10Y note auction, early vol sellers evaporating ahead Thursday's key CPI data. Salient trade:

  • SOFR Options:
    • +16,200 SFRH3 97.00/98.50 call spds, 0.75 ref 94.94
    • Block, 2,000 Green Nov 96.18/96.31 1x2 call spds, 1.5 net ref 96.06
    • 4,000 Green Nov 96.31 calls ref 96.07
    • 4,000 short Jun 94.00/94.50 put spds ref 95.755
    • 4,000 SFRZ3 94.25 puts, ref 95.27 to -.275
  • Eurodollar Options:
    • -1,000 short Mar 95.00/95.50 strangles, 45.5
    • +10,000 Dec 95.00/95.12/95.25 call flys, 1.75
  • Treasury Options:
    • +7,250 wk3 FV 107.25/107.75 call spds, 3.5
    • +10,000 TYZ 108.75 puts, 17 ref 110-02.5
    • 4,000 TYZ 111.75/112.75 call spds
    • +5,000 TYZ2 111/112/113 call trees, 12
    • 3,200 TYF 114 calls, 12 ref 110-14.5
    • 3,000 TYF 112.5/113.5 call spds vs. TYF 105.5/106.5 put spds
    • 2,500 TYF 107/109 put spds
    • +4,300 FVF 104.5/105.25 put spds, 9 ref 106-22
    • Block, -10,000 FVZ 105.5/106.75 put spds, 33.5