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Early SOFR Block/Treasury Option Roundup

US TSYS
Salient trade leaning toward upside calls, call spds following latest 12k SOFR call spd block, modest 10Y call spd volume at the moment after weekly midcurve put spd trade early overnight - expires in next week.
  • SOFR Options:
    • Block, 12,000 SFRX2 96.12/96.50 call spds, 3.0 ref 95.715
    • Block, 2,500 short Dec 95.00/95.50 put spds, 12.5
  • Treasury Options:
    • 4,000 TYX2 115/117 call spds ref 112-24.5
    • 2,700 TYX2 118.5 calls, 3 ref 112-25
    • Block, 5,000 TYX2 115 calls, 18 ref 112-20.5
    • 23,000 Wk1 TY 109/110 put spds (expire next Friday)

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