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Early SOFR/Treasury Option Roundup

US TSYS
Mixed overnight trade leaning towards better upside calls in 5Y options:
  • Treasury Options:
    • over 15,000 FVM3 111.25 calls, 7 ref 109-31
    • 6,000 FVQ3 112.5/114 call spds ref 110-19
    • 1,800 TYM/TYN 115.5 put calendar spds 11
    • 3,000 TYM3 114.5 puts, 16 ref 115-11.5
    • 3,800 FVN3 112.25 calls, 24.5 ref 110-21 to -20
    • 5,000 FVN3 109.5 puts, 25 ref 110-21 to -20
  • SOFR Options:
    • Block, 4,500 SFRM3 94.56/94.75/94.81/94.87 put condors, 0.12 ref 94.9225
    • 5,000 SFRN3 95.12/95.25 put spds vs. 95.50/95.56 call spds
    • 3,000 SFRM3 95.06/95.18 call spds ref 94.9225
    • 2,000 SFRM3 94.93/95.06/95.18 call flys ref 94.9225
    • 1,000 SFRM3 94.50/94.75 call spds vs. 94.12/94.37/94.93 put flys
    • 2,800 SFRU3 95.81/96.18 call spds ref 95.225
    • 3,000 SFRU3 94.81 puts ref 95.225
    • 4,000 OQM3 96.12 puts ref 96.66

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