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Early SOFR/Treasury Option Roundup

US TSYS
Mixed trade on modest volumes so far as underlying futures reverse much of Thu's post-ECB rally.
  • SOFR Options:
    • Block, 2,000 Green Nov 96.75/96.87 call spds, 1.0 vs. 96.235/0.05%
    • Block, 2,500 SFRH3 94.12/94.62 put spds, 5.0 vs. 95.165/0.14%
    • 1,500 SFRJ 94.25/94.50/95.00 put flys
    • Block total 9,000 SFRH3 95.50/95.62 put spds, 9.25 on splits
  • Treasury Options:
    • 5,000 TYZ 114.25 calls, 14 ref 111-06
    • Block, 2,000 TUZ2 102.75/103/103.25 call flys, 2 vs. 102-18/0.05%
    • 2,000 TYZ 108/108.25/109.5 put fly vs. TYZ 112.25/112.75 call spd, adding to 0.0 print from Thursday
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