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Early SOFR/Treasury Option Roundup

US TSYS

Mixed overnight trade on light volume rolls into early NY session, latest SOFR trade includes Red Dec'24 call buying, Dec'23 vol sales.

  • SOFR Options:
    • +10,000 SFRZ4 97.25 calls, 34.5
    • -4,000 SFRZ3 94.68 straddles, 38.5-38.0
    • 2,000 SFRU3 94.68/94.75/94.81 call flys
  • Treasury Options:
    • over 4,200 FVQ3 108 calls, 8 ref 107-26.5
    • 3,200 FVQ3 107.5 puts, 5 last
    • over 3,400 TYU3 115.5 calls, 12 last ref 112-29.5
    • 2,500 TYQ3 113 puts, 17 ref 113-01
    • 1,000 TYU3 109/110.5 put spds ref 113-02

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