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Early SOFR/Treasury Option Roundup

US TSYS
Session trade rotating around significant vol sales in short end SOFR options (Mar'23 strangles) and varied upside call and call spd buying in Tsy options. Interpretation: option accts seeing appr 50% retrace in underlying futures from Wed's post-BoE buy program-tied rally as new support, at least in the near term, with call buyers looking for gradual drift higher through early 2023 as market vol cools.
  • SOFR Options:
    • Block, 4,000 SFRX2 95.75/96.00 1x2 cal spds, 0.75 net
    • Block, -10,000 SFRH3 94.75/95.75 strangles, 38.0 ref 95.545
    • Block, total 15,000 SFRV2 95.93 calls 0.5-0.75 over SFRX2 96.12/96.50 call spds
    • 1,750 SFRZ2 95.56/95.68 put spds vs. 95.93/96.06 call spds
  • Treasury Options:
    • 5,500 TYZ2 113.5 puts, 231 ref 112-00
    • Block, 10,000 TYX2 112.5/113.5 call spds, 23 ref 112-00, adds to earlier Block/screen
    • Block, 8,000 TYX2 110.5 puts, 36 ref 112-03
    • 4,700 TYX2 110.5 puts, 47 ref 111-31
    • 1,700 TUX2 103.5 calls, 5.5 ref 102-21.75
    • 10,300 TYX2 110.25 puts, 38-39 ref 111-29
    • Block, 5,000 TYX2 110 puts, 38 ref 111-30
    • 4,000 TYX 109/110 put spds, 9
    • Blocks, total 10,000 TYX2 112.5/113.5 call spds, 23-24 ref 111-29 to -27.5

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