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Early SOFR/Treasury Option Roundup

US TSYS
  • Mixed overnight option trade, underlying futures at or near overnight lows on very light volumes (TYU3 under 160k) with China/HK closed for holiday. Accts also plying sidelines ahead BOE rate annc (0700ET) after Norges bank hiked 50bp overnight. Larger Dec'23 SOFR call spd and Aug'23 10Y ratio put spd highlighted
  • SOFR Options:
    • 3,000 2QQ3 97.00 calls ref 96.66
    • 15,000 SFRZ3 95.50/96.00 call spds, ref 94.775
    • 2,000 SFRU3 94.25/94.37/94.62/94.75 1x2x2x1 put condors ref 94.655
    • 1,000 SFRZ3 96.00/97.50/98.25 1x3x2 call flys ref 94.77
  • Treasury Options:
    • 4,000 TYN3 112/112.5 put spds ref 113-01.5
    • 2,000 TYN3 112.25/112.5/112.75 put trees ref 113-03
    • 1,500 TYN3 114 calls, 3 ref 113-03
    • 1,500 FVN3 108.25/108.5 call spds, 2 ref 107-26.5
    • over 16,000 TYQ3 112/113 2x1 put spds ref 113-03.5 to -03
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