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Early SOFR/Treasury Option Roundup


Some interest in Sep 5Y calls/call spds overnight on otherwise modest summer volumes. Underlying futures mildly lower for the most part, 2s and Ultra-Bonds a little higher at the moment. Muted SOFR trade overnight, Whites through Reds mildly higher (rate hike projections through year end holding around 17-20%) vs. weaker levels out the strip.

  • Treasury Options:
    • 8,400 FVU3 109 calls, 3.5 last ref 106-25.5
    • 8,400 FVU3 107.75/108.5 call spds ref 106-26.25 to -25.75
    • 1,000 TYU3 111.75/112.25/112.75/113.25 call condors, ref 111-14
    • 3,500 TYV3 109/110 put spds, 14 ref 111-28
    • 2,000 USU3 128/131 call spds ref 124-13
  • SOFR Options:
    • 2,500 SFRZ3 94.87/95.00 call spds ref 94.625 to -.63
    • Block, 2,500 SFRV3 94.50 puts, 7.0 vs. 94.625/0.33%

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