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Early SOFR/Treasury Option Roundup

US TSYS
Modest overnight volumes as accounts regroup following Wednesday's 25bp rate hike and dovish statement tempering forward guidance ("Some" firming "May" be appropriate). Overnight flow leaned toward better call interest with a couple decent put structures in SOFr options. Salient trade includes:
  • SOFR Options:
  • 9,000 SFRJ3 95.00/95.18/95.31/95.43 put condors ref 95.28
  • 5,000 SFRK3 95.06/95.18 call spds ref 95.31
  • 2,500 SFRJ3 95.18/95.43/95.68 call flys ref 95.31
  • 3,000 SFRM3 95.18 calls ref 95.28
  • Block, total 17,102 SFRM3 94.43 puts, 1.5-1.0 vs. 95.32/0.07%
  • Treasury Options:
  • 4,600 TYK3 116.5 calls, 51 ref 115-12
  • 2,500 FVK3 112/113.5 call spds ref 109-27.5
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