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Early SOFR/Treasury Option Roundup


Light volumes on mixed trade overnight, many desks short staffed ahead today's "early" close and 4th of July Independence Day holiday. Underlying futures weaker, near late overnight lows, 10Y yield at 3.8506% vs. 3.8584% high. Salient trade:

  • SOFR Options:
  • 4,100 SFRH4 98.00/98.50 call spds ref 94.82 to -.825
  • 1,200 OQZ3 95.50 puts, ref 95.895
  • 1,500 OQQ3 96.00/96.50 call spds, ref 95.535
  • 1,500 SFRN3 94.87 calls ref 94.585
  • 2,100 SFRN3 94.75/94.87 1x2 call spds ref 95.585
  • Treasury Options:
  • 1,000 USQ3 128/129/131/132 call condors, ref 126-24
  • 1,500 TYQ3 113.5 calls, 15 ref 112-00

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