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Early SOFR/Treasury Option Roundup

US TSYS
Generally mixed trade on lighter overnight volumes continue. Underlying rate futures firmer following sharp decline in EGB inflation expectations overnight, implied vol steady to mildly higher at the moment. No data or Treasury supply today.
  • SOFR Options:
    • Block, 4,000 OQN3 96.00/96.43 put spds 6.5 over 2QN3 96.68 puts
    • 5,000 SFRM3 94.68/94.75/94.81 put flys ref 94.7375
    • 2,000 SFRM3 94.75/94.81/94.87 call flys ref 94.7375
    • 7,300 SFRM3 94.81/94.87 call spds ref 94.7425
    • over 10,000 SFRM3 94.75/94.81/94.87 put flys, ref 94.745
    • 1,500 SFRZ3 94.50/94.75 put spds ref 95.115
    • 1,800 SFRZ3 96.00/97.12 1x2 call spds ref 95.115
    • 1,000 SFRM3 94.37/94.56 1x2 call spds ref 94.725
  • Treasury Options:
    • over 4,000 TYN3 115 calls, 23 ref 114-04.5
    • 4,000 TYN3 111/112 put spds, ref 114-05.5
    • 10,000 FVN3 110 calls, 11 ref 108-24.5

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