Early SOFR/Treasury Option Roundup

Mixed trade on modest summer summer volumes overnight, traders watching reversal in underlying futures into the NY open, curves still steeper as futures slip back to weaker overnight levels. Limited data today, focus on Wednesday's CPI on the heels of last Fri's lower than expected NFP.

• SOFR Options:
  • Block, 5,500 SFRH4 96.00/96.75/97.50 call flys, 3.5 net ref 94.86
  • Block, 5,000 SFRH4 95.50/96.00/96.37 broken call flys, 3.5 net ref 94.845
  • 2,000 SFRU3 94.00 puts, 0.5
  • 2,500 SFRU3 94.50 puts
  • 1,000 2QU3 96.75/97.00 call spds ref 96.205
• Treasury Options:
  • 2,700 USU3 116/117/120/121 put condors ref 123-02
  • 3,300 FVV3 108 calls
  • 5,000 TYQ3 109.75/110.5 put spds vs. TYQ3 111.25 calls, even net ref 110-15
  • 1,650 TYQ3 108.5/109 put spds, 4
  • 1,500 TYQ3 108 puts, 4
  • 1,000 USU3 125/128/131 call flys