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Early SOFR/Treasury Option Roundup

US TSYS
Heavy Jul'23 5Y put interest overnight, SOFR options look mixed: targeting Aug-Sep up/down-side policy risk as underlying futures continue to scale back rate cut pricing
  • Treasury Options:
    • over 31,500 FVN3 112 calls, 29.5-30 ref 110-14
    • over 12,800 FVN3 109.25 puts, 27-26 ref 110-16
    • over 5,800 FVN3 109.5 puts, 34 ref 110-14
  • SOFR Options:
    • 2,000 SFRU3 94.87/95.00 put spds vs. SFRU3 96.50/97.00 call spds
    • Block/screen, 8,500 SFRN3 95.12/95.37/95.62 call flys, 2.0 ref 95.205
    • 5,000 SFRU3 95.50/95.56/95.62/95.68 call condors ref 95.20
    • 1,750 OQM3 95.56/95.68 put spds, ref 96.605
    • Block, 4,000 OQM3 95.25 puts, 1.0 vs 96.59/0.05%
    • 6,500 SFRQ3 94.75/95.00/95.25/95.50 put condors ref 95.19
    • Block, 5,000 SFRU3 95.12/95.35/95.62 call flys, 1.25
    • 2,000 SFRK3 94.81/94.94 2x1 put spds, ref 94.895
    • 2,000 SFRU3 94.62/94.87 put spds ref 95.185
    • 1,000 SFRU3 94.75/94.87/95.00/95.12 put condors ref 95.19
    • over 12,000 SFRK3 94.93/95.06/95.18 call trees vs. SFRM3 94.93/95.06/95.18 call flys, ref 94.90
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