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Early SOFR/Treasury Option Roundup

US TSYS
Jun'23 5Y Treasury calls driving overnight volumes, underlying futures mildly weaker but climbing off overnight lows.
  • Treasury Options:
    • over 3,000 TYN3 121.5 calls, 18 ref 116-17
    • Block/screen, over 34,000 FVM3 111 calls 30-31.5 ref 110-03.5 to -05
    • over 14,400 FVM 111.25 calls, 25.5-27 ref 110-03.5 to -06
    • 2,200 FVM3 110.75 calls, 34.5 ref 110-03
  • SOFR Options:
    • Block, 2,500 SFRM4 94.50/95.00/95.50 put flys, 4.0 ref 96.665
    • Block, 3,000 SFRN3 95.00/95.25/95.50/95.75 call condors, 5.5 ref 95.285
    • 2,000 SFRZ3 95.75/96.50 call spds vs. OQZ3 97.75/98.50 call spds
    • 2,000 SFRN3 94.68/94.93/95.18/95.43 put condors ref 95.305
    • 3,000 SFRM3 95.00/95.12/95.25 call flys, ref 94.965

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