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Early SOFR/Treasury Option Roundup

US TSYS
Modest volumes on mixed trade going into month end so far, underlying futures trading mildly weaker in the short end to intermediates at the moment.
  • SOFR Options:
  • Block, 2,500 SFRK3 95.06/95.18 call spds, 5.0 vs 95.18/0.11%
  • 1,800 SFRK 94.75/95.00 put spds, 6.0 ref 95.175
  • Block, +5,000 SFRH4 97.50/98.50/99.00 broken call flys 1.0 over 95.25/95.50 put spds ref 96.06
  • Block, +15,000 OQM3 95.62/96.00 3x2 put spds, 12.0 ref 96.40
  • Treasury Options:
  • 1,400 TYK3 116 calls, 36 ref 114-15.5

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