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Early SOFR/Treasury Option Roundup

US TSYS
Lighter overall volumes still revolving around downside puts, positioning for hikes to continue into this fall.
  • SOFR Options:
    • 2,000 SFRJ3 94.37/94.62/94.87/94.93 put condors ref 94.885
    • Blocks, 14,000 SFRU3 94.00/94.50 put spds, 6.0 vs. 94.96/0.15%
    • 1,500 SFRM3 94.56/94.68/94.81 put flys ref 94.885
    • 2,000 SFRJ3 94.50/94.75 put spds, ref 94.88
    • 3,500 SFRZ3 96.25/97.00/97.50 broken call flys, ref 95.275
    • Block, 2,500 SFRM3 94.62/94.75/94.87 put trees, 1.0 ref 94.87
  • Treasury Options:
    • over 10,500 TYH3 112.25 puts, 11 ref 113-22 to -21.5
    • 2,400 USH3 126 puts, 22 ref 128-25

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