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Early SOFR/Treasury Option Roundup

US TSYS
Mixed overnight flow leaning towards low delta puts and put spds as well as a handful of iron condor structures in SOFR options. This after Monday's option trades leaned bullish, fading the post-jobs unwind of implied rate cuts (Dec FF appr 88bp last Wed to appr 42bp now). Ergo, looking for rate cuts to get priced back in. Markets won’t have long to see if that is the case with the next major data metric of CPI out Wednesday.
  • SOFR Options:
    • 2,000 SFRN3 94.62/94.87/95.37/95.62 iron condors
    • 2,000 OQK3 95.75 puts, 3.0 ref 96.615
    • 2,000 OQJ3 96.87 calls ref 96.62
    • 2,500 SFRZ3 94.87/95.12/95.87/96.12 iron condor
    • 1,500 SFRU3 94.62/94.75/94.87 call flys, ref 95.315
    • 1,750 SFRM3 94.25/94.75/95.00 broken put flys, ref 95.04
    • Block, 3,500 SFRK3 97.50 calls, .5 ref 95.04
    • Block, 2,500 SFRM3 94.25/94.75/95.00 put flys, 6.5 ref 95.04
    • Block, -5,000 SFRU3 94.75/94.87 put spds vs. SFRU3 95.37/95.50 call spds, iron condor for 0.75 net cr
  • Treasury Options:
    • 2,500 TYM3 114.5/117 call over risk reversals 5 net ref 115-20
    • 1,500 FVK109.25/110 put spds
    • 3,000 FVK3 108.75 puts, 5 ref 110-02.75
    • 2,000 TYK3 114/117.5 combos ref 115-19.5
    • over 6,500 wk2 10Y 114.5 puts, 9-10 ref 115-19.5
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