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Early SOFR/Treasury Option Roundup

US TSYS
Modest volume recorded overnight, SOFR/Treasury options tended toward downside puts - carry over from Friday as downside put buying gained momentum in the second half as accounts faded the bank-panic driven safe haven support well before underlying futures pared first half gains: SFRU3 at 95.78 in late trade are +0.020 vs. 96.11 early session high.
  • SOFR Options:
    • Block/screen, over 7,500 OQM3 95.75 puts, 14.0 vs. 96.675
    • 4,000 SFRM3 95.12/95.25/95.37/95.50 put condors ref 95.285
    • 2,000 SFRM3 94.62/94.81 put spds
    • 2,000 OQJ3 96.50/96.87 2x1 put spds, ref 96.66
    • 1,000 SFRN3 94.81/95.18/95.56 put flys
    • 3,000 SFRZ3 95.50 puts, 42.0 ref 95.95
  • Treasury Options:
    • 2,000 TYK3 107.5/108/110 broken put flys, ref 115-15.5
    • over 5,300 TYM3 112 combos ref 115-19.5
    • 2,600 TYK3 119 calls, 27 ref 115-24.5
    • over 7,000 TYK3 112 puts, partly tied to 112/114 2x1 put spd
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