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Early SOFR/Treasury Option Roundup

US TSYS
  • Overnight option trade remains mixed on light volumes. Checking details of latest Dec'23 SOFR call package. Underlying futures firmer but on low end of overnight range. Salient trade:
  • SOFR Options:
    • 3k SFRZ 96.25 and 96.75 calls vs. 1,500 SFRZ3 97.00 and 97.50 calls
    • 1,000 SFRZ3 94.62/96.00 strangles ref 95.05
    • 2,000 SFRN3 94.93 calls ref 94.79
    • 2,000 SFRQ3 93.12 puts, .5 ref 94.80
    • 1,500 SFRH3 94.50/94.75 put spds ref 95.475
    • 3,650 SFRM3 94.75/94.81/94.87 put flys, ref 94.75
    • 1,500 SFRM3 94.50/94.68 call spds, ref 94.75
  • Treasury Options:
    • over 4,000 TYQ3 114 calls, 104 last

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