EURIBOR OPTIONS: H6 Call Spread Buyer

ERU5 98.25/98.37cs, bought for 0.75 and 1 in 4k.

Option desks report mixed flow on lighter volumes as US markets return from extended 4th of July holiday weekend. Recent Oct'25 SOFR call condors blocked. Underlying futures mixed, curves steeper with the sdhort end outperforming at the moment. Projected rate cut pricing largely steady vs last Thursday (*) levels: Jul'25 at -1.2bp, Sep'25 at -18.9bp (-19.1bp), Oct'25 at -34.7bp (-34.2bp), Dec'25 at -53bp (-51.8bp).

• SOFR Options:
  • Block/screen 8,000 SFRV5 96.06/96.18/96.31/96.43 call condors, 3.25
  • 1,850 SFRU5 95.87 put vs. 95.93/96.12 call spd ref 95.88
  • Block, 5,000 SFRV5 96.12/96.18/96.31/96.43 broken call condors, 0.0
  • 2,000 SFRH6 96.50/97.00 call spds ref 96.43
  • 2,100 SFRN5 95.75/95.81/95.87 put trees
  • 3,336 SFRZ5 95.75/95.87/96.25/96.37 put condors ref 96.18
• Treasury Options:
  • 2,000 TYV5 122.5 calls, ref 111-04.5
  • 2,400 TUQ5 104.5 calls, 0.5 (exp 7/25)
  • 2,000 TYU5 111.5 puts
  • -20,000 TYQ5 109.5 puts, 4 ref 111-07

• 5,000 SFRV5 96.12/96.18/96.31/96.43 broken call condors, 0.0 net ref 96.18 at 0634:55ET