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Early SOFR/Treasury Option Roundup

US TSYS
Limited option volumes ahead PPI at the bottom of the hour, implied vol gaining as underlying futures rebound amid latest regional bank headlines PacWest -26% following 10Q filing). Salient trade:
  • SOFR Options:
    • over 6,000 SFRM3 94.87 puts, ref 94.97
    • 2,500 SFRM3 95.00/95.06 call spds, ref 94.97
    • Block, 3,750 SFRU3 94.25/94.50/94.62 broken put trees, 0.5 2-legs over ref 95.295
    • 2,000 SFRK3 5.31/95.43/95.56 call flys ref 94.95
  • Treasury Options:
    • 2,000 TYN3 117 calls, 111
    • 10,000 TYU3 119.5/121.5 call spds ref 116-24
    • 2,000 TYN3 120/121 call spds, 6 ref 116-23.5

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