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Early SOFR/Treasury Option Roundup

US TSYS
Carry-over interest in low delta SOFR puts and put spreads with underlying trading weaker this morning, Treasury options more mixed but leaning toward upside calls:
  • SOFR Options:
    • Block, 6,500 SFRM3 94.37/94.62 put spds, 1.0 ref 94.8525
    • Block, 3,000 SFRZ3 94.50/95.00 put spds, 12.0 ref 95.51
    • 3,900 SFRM3 94.75/94.87/95.00 call flys ref 94.8675
  • Treasury Options:
    • 5,300 TYM3 116 calls, 5 last ref 114-14.5
    • 5,000 TYU3 119.5/121.5 call spds ref 115-10
    • 2,000 TYM3 113.5 puts, 8 ref 114-14
    • 2,600 TYM3 118 calls, 1 ref 114-13.5
    • 4,500 FVN3 112 calls, 17 ref 110-00.5
    • 5,000 FVN3 109 puts, 23 ref 110-00
    • 1,450 FVN3 111.5 calls, 24 ref 110-04.25
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