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Early SOFR/Treasury Option Roundup

US TSYS
Low delta put structure focus in SOFR and Tsy options overnight, volumes relatively muted w/ much of Asia out on Lunar New Year holidays this week.
  • SOFR Options:
    • Block, 4,500 SFRM3 94.68/94.75 put spds 0.75 vs.95.065/0.05%
    • Block, 2,500 OQM3 95.00/95.50/96.00 2x3x1 put flys, 2.5 net ref 96.625
    • 2,000 SFRJ3/SFRM3 95.00 put spds ref 95.095
    • 3,900 OQK3 95.50 puts 2.5 ref 96.63
    • 1,500 SFRZ3 94.62/94.81 put spds, ref 95.61
    • 1,500 SFRZ3 94.75/95.00/95.25 put flys ref 95.61
    • Block, 2,500 SFRM3 94.68/94.75/94.81 2x1x1 put trees, 2.0 ref 95.095
  • Treasury Options:
    • 1,400 FVJ3 109.5/110.5 strangles, ref 110-00
    • over 15,000 TYH3 111/112 put spds, 4-5 ref 114-29.5
    • 4,400 TYG3 114 puts, 5 ref 114-29.5
    • 4,750 wk1 TY 116.5/117 call spds, ref 114-28
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