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Early SOFR/Treasury Option Roundup

US TSYS
Lighter overnight volumes on mixed trade, rather quiet given the drop in underlying futures at the start of the two day FOMC.
  • SOFR Options:
    • 5,000 SFRZ3 93.25/93.50/93.75/94.00 put condors, ref 95.775
    • 4,750 OQM3 95.87/96.00 strangles, ref 96.375
    • 5,000 SFRM3 96.25 calls, ref 95.295
    • over 8,800 OQJ3 96.00/2QJ3 96.50 put spds around even
    • Block, 3,500 SFRM3 94.68/94.75 put spds, 1.5 ref 95.45
  • Treasury Options:
    • 2,100 FVK3 107.5 puts, ref 109-10.25
    • 1,000 TYK3 112/118 call over risk reversal, 1 net ref 114-19

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