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Early SOFR/Treasury Option Roundup

US TSYS

Mixed overnight trade sees slightly better downside puts with underlying futures trading steady to mildly higher in the short end (SOFR Whites-Reds, Tsy 2s) to weaker out the curve. Curves marking steeper levels (2s10s +2.709 at -96.186) with long end trimming gains after extending past Wed's post-FOMCC highs overnight.

  • SOFR Options:
    • 2,000 OQV3 95.37/95.62/95.87 put trees
    • 5,000 OQU3 95.50/95.75/96.00 call flys, ref 95.63
    • Block, 8,000 SFRU3 94.37/94.50 put spds, 2.25 vs. 94.575/0.20%
    • Block/screen, 10,500 SFRZ4 93.50/94.25/95.00 put flys, 10.5 net ref 95.97 to -.975
    • 2,000 SFRU3 94.12 puts, 0.5 ref 94.575
  • Treasury Options:
    • 1,275 FVU3 107 straddles ref 107-05.5
    • over 2,300 FVU3 108 calls, 20.5 last
    • over 3,700 TYU3 109.5 puts, 10 last
    • over 4,300 TYU3 110.5 puts, 21 last
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