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Early SOFR/Treasury Option Roundup

US TSYS
Modest SOFR trade evenly pared, larger Treasury option volume in 10Y puts:
  • SOFR Options:
    • 1,000 SFRH3 94.75/95.00/95.25/95.50 call condors ref 95.12
    • 1,000 SFRH3 95.37/95.50/95.62 call trees ref 95.12
    • 1,125 SFRH3 95.37/95.50/95.56 call trees ref 95.12
    • 1,395 SFRZ3 94.50/95.00/95.50 put flys, ref 95.665
    • 1,500 OQG3 95.5/95.62/96.00 broken put flys, ref 96.15
  • Treasury Options:
    • 5,000 TYG3 115.5/116.5 call spds, 12 ref 114-10.5
    • 22,300 TYG 111 puts, 2 ref 114-11 to -08.5
    • 1,800 TYG 112 puts ref 114-11.5
    • 1,700 TYG 113.25 puts vs. 114.5/115.5 call spds ref 114-06.5

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