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Early SOFR/Treasury Option Roundup: Hedging Policy Risk After May FOMC

US TSYS
Better downside put structures overnight. Hedging or speculating on policy risk on whether an anticipated 25bp hike from the FOMC on May 3 will be the last. SOFR focus on Jun'23 and Jul'23 put condors. Jun'23 options expire on Jun 16, two days after the June FOMC (Jul options on July 14, well before the July 26 FOMC).
  • SOFR Options:
    • 2,000 SFRU3 94.50 puts, 6.5 ref 95.17
    • 3,000 SFRM3 95.00/95.12/95.31/95.43 call condors ref 94.925
    • 1,250 SFRM3 94.18/94.93/95.00/95.12 put condors ref 94.925
    • 4,500 SFRN3 94.75/95.00/95.25/95.50 put condors ref 95.175
    • 3,000 SFRN3 94.50/94.93/95.00/95.18 broken put condors ref 95.155
    • 2,500 SFRU3 96.00/96.37 call spds ref 95.16
  • Treasury Options:
    • 2,500 FVM3 112.5/113.5 call spds ref 109-05.25
    • 1,500 wk4 10Y 111.5/113 put spds ref 114-10.5
    • 3,000 wk4 10Y 112/113.5 put spds ref 114-10.5
    • 3,000 TYM3 113 puts, 37 ref 114-09
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