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Early SOFR/Treasury Option Roundup

US TSYS
  • Limited overnight option volumes as US returns from extended holiday weekend. Mixed trade on net, some interest in low delta 10Y puts while underlying futures have inched off modest overnight lows.
  • SOFR Options:
    • 1,500 SFRZ3 95.00 puts ref 94.80
    • 2,000 SFRU3 95.37/95.50 call spds vs. 94.75/94.87 put spds
  • Treasury Options:
    • 2,500 TYQ 115/116 call spds, 8
    • 4,000 FVQ3 109.75 calls, 8 ref 107-23.5
    • 2,700 TYU3 109 puts ref 112-31.5
    • 4,900 TYQ3 115 calls, 15-16
    • 5,200 TYQ3 116 calls, 8-9
    • over 24,000 TYN3 112 puts, 4-5
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