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Early SOFR/Treasury Option Roundup

US TSYS
BulletMarketsFixed Income NewsHomepage
Short end volatility and downside (rate hike) put buying noted in SOFR options, while Treasury options include large Apr'23 10Y put condor unwind, unusual to see an unwind ahead Fed Powell testimony and upcoming Fed policy blackout this Friday.
  • SOFR Options:
    • Block, +10,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
    • over 5,200 OQH3 94.81/94.93 put spds, ref 95.01 to -.005
    • 4,000 OQN3 94.00 puts, 1.5 ref 95.81
    • over +9,000 SFRM3 94.43/94.68 strangles, 17.0 last ref 94.575
    • 2,000 SFRK3 94.81/94.93/95.06 put flys
  • Treasury Options:
    • -8,000 TYJ3 108/109/110/111 put condor w/TYJ 108.25/109.25/110.25/111.25 put condor, collect 32 vs. 111-08
    • 4,000 FVJ3 107.5/108 call spds, ref 106-24.75
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Short end volatility and downside (rate hike) put buying noted in SOFR options, while Treasury options include large Apr'23 10Y put condor unwind, unusual to see an unwind ahead Fed Powell testimony and upcoming Fed policy blackout this Friday.
  • SOFR Options:
    • Block, +10,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
    • over 5,200 OQH3 94.81/94.93 put spds, ref 95.01 to -.005
    • 4,000 OQN3 94.00 puts, 1.5 ref 95.81
    • over +9,000 SFRM3 94.43/94.68 strangles, 17.0 last ref 94.575
    • 2,000 SFRK3 94.81/94.93/95.06 put flys
  • Treasury Options:
    • -8,000 TYJ3 108/109/110/111 put condor w/TYJ 108.25/109.25/110.25/111.25 put condor, collect 32 vs. 111-08
    • 4,000 FVJ3 107.5/108 call spds, ref 106-24.75