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Early SOFR/Treasury Option Roundup

US TSYS
Aside from some smaller call trades, theme for the day is better downside put plays, particularly condors in 10s, and vol selling in SOFR options w/ data and policy event risk in the rear-view mirror. Limited Eurodollar option trade, Dec futures and options expiring Friday.
  • SOFR Options:
    • Block 3,750 SFRH 95.12/95.37/95.62 call flys, 8.0 ref 95.16
    • Block, -5,000 SFRZ3 95.75 straddles, 94.0 (99.0 set')
    • +10,000 SFRZ3 94.00/94.50/95.00/95.50 put condors, 12 vs. 95.75/0.10%
    • Block/screen, 8,500 SFRH 94.93/95.06/95.18/95.31 put condors, 3.75 ref 95.165-.15
  • Treasury Options:
    • 3,000 TYH 110/111.5 put spds, 11
    • 3,000 TYG 111/112 put spds, 8 ref 114-25.5-26
    • +3,000 FVF 109.5 calls, 20 vs. 109-16
    • +1,500 TYG 112.5/113/113.5/114 put strip, 2-11
    • 3,000 TYF 111.75 puts
    • 3,500 TYG 113.5 puts, 42 ref 114-24
    • Block, 3,750 TYH 114/115.25 put over risk reversal, 6 vs. 114-25/0.62% (2.5k more on screen)

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