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Early SOFR/Treasury Option Roundup

US TSYS
Overnight/early NY option trade rotates around better low delta puts, put structures in SOFR options as projected rate cuts later in the year continue to evaporate. Treasury options include see better upside calls fading the sell-off in underlying.
  • SOFR Options:
    • +10,000 SFRM3 94.56/94.62 put spds, 1.0
    • 3,000 SFRM3 94.43/94.50/94.68/94.75 put condors ref 94.78
    • 6,000 SFRN3 94.62/94.81 put spds, ref 94.95
    • 4,000 OQM3 95.31/95.75/96.03 put flys ref 96.16
    • 3,000 OQM3 95.81/96.00/96.25 broken put trees, ref 96.14 to -.145
    • 2,250 OQM3 96.18/96.43 2x1 put spds ref 96.185
    • 2,500 OQM3 96.18 puts, ref 96.185
    • 4,500 OQM3 96.12 puts, 19.0 ref 96.185
  • Treasury Options:
    • 3,000 FVM3 108.5/109 call spds, 8 ref 108-12.25
    • 3,700 TYM3 113.75/114 call spds, 7 ref 113-07
    • 2,000 TUN3 103.5 calls, 14.5 ref 103-01.5
    • Block, 5,000 FVM3 109.5/110 call spds, 1 ref 108-12.5/0.04%
    • over 8,700 FVM3 108 puts, 8 ref 108-12.75
    • 1,500 TYN3 117/119/120 broken call flys, 7 ref 113-30.5
    • over 10,000 TYN3 118 calls, 12 ref 114-06.5
    • 1,500 TYN3 116/117 call spds, 11 ref 114-05.5
    • 1,500 TYM3 114.5/115.5 call spds ref 113-13.5
    • 2,000 TYM3 114.25 calls, 7 ref 113-14
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