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Early SOFR/Treasury Option Roundup

US TSYS
Limited volumes, seeing continued better put structure trade in 10Y Tsy options:
  • SOFR Options:
    • 2,000 SFRH 95.25/95.50/95.62 broken call trees
    • 3,000 SFRU 95.00/95.50 strangles ref 95.185
    • 3,200 Blue Jan 96.50/96.75 put spds ref 97.095
  • Treasury Options:
    • 7,500 TYG 108.5/109.5/1111broken put flys, ref 114-05
    • 9,500 TYF 110/111 put spds
    • 1,500 TYF 112.5/113.5 put spds vs. 115.25 calls, ref 114-00.5
    • 3,000 wk2 FV 108 puts, 3.5

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