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Early SOFR/Treasury Option Roundup

US TSYS
Overnight trade leaning toward low delta put structures in SOFR and Tsy options, fading bounce in underlying off Thu's lows.
  • SOFR Options:
    • 4,000 SFRU3 94.00/94.62 put spds ref 94.575
    • 2,000 2QH3 96.12/96.25/96.50 broken put flys ref 96.21
    • Block, 2,500 OQK3 94.56/94.81 put spds, 4.0 vs 95.405
    • 2,100 SFRJ3 94.25/94.37/94.5 put flys, ref 94.63
    • 2,000 SFRJ3 94.87/95.37 call spds ref 94.63
    • over 13,800 SFRM3 94.50 puts, 94.62 -.605
    • 8,600 SFRU3 94.18/94.31 put spds, ref 94.58 to .575
  • Treasury Options:
    • 2,500 TYK3 111/112 put spds ref 110-26
    • 3,000 TYJ3 111/112 put spds, ref 110-26
    • over 3,300 TYM3 106 puts, 19 ref 110-28
    • over 4,200 TYJ3 108 puts, 8 ref 110-24.5
    • over 3,700 TYJ3 110 puts, 39 ref 110-22.5
    • 2,500 FVJ3 108.75 calls, 3.5 ref 106-16.5
    • 2,000 FVK3 110 calls, 4 ref 106-15.5
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