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US Eurodollar/Tsy Option Roundup, Two-Way Calls, 5Y Put, Midcurve Vol

US TSYS
Tuesday's FI option trade was a mixed bag of two-way Eurodollar calls, SOFR and 5Y call buyers while put buyers hedging higher yields in 5s were reported.
  • Highlight Eurodollar option trade included a Block sale of 50,000 December 97.00 calls at 0.5 followed by limited upside hedge via 15,000 Dec 99.37/99.50/99.87 call flys. Salient SOFR option Block included a purchase of 30,000 SFRH3 98.25 calls at 13.0.
  • Notable Treasury options centered on 5s with paper buying over 30,000 FVM 114 calls at 5.5, while paper bought 10,000 FVM 110.5/111.5/112/112.5 put condors at 5.5 in the second half.
  • Notable scale vol buyer in the first half: total of 48,500 Green Dec 97.37/97.62 strangles from 86.0-87.0.
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Tuesday's FI option trade was a mixed bag of two-way Eurodollar calls, SOFR and 5Y call buyers while put buyers hedging higher yields in 5s were reported.
  • Highlight Eurodollar option trade included a Block sale of 50,000 December 97.00 calls at 0.5 followed by limited upside hedge via 15,000 Dec 99.37/99.50/99.87 call flys. Salient SOFR option Block included a purchase of 30,000 SFRH3 98.25 calls at 13.0.
  • Notable Treasury options centered on 5s with paper buying over 30,000 FVM 114 calls at 5.5, while paper bought 10,000 FVM 110.5/111.5/112/112.5 put condors at 5.5 in the second half.
  • Notable scale vol buyer in the first half: total of 48,500 Green Dec 97.37/97.62 strangles from 86.0-87.0.