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Early SOFR/Treasury Option Roundup: Jul/Aug Puts

US TSYS
  • Better put option trade with few exceptions overnight (Block 10k FVQ 109.5 calls), focus shifts to July and August expirations after Wednesday's "hawkish hold" policy annc from the FOMC with 12 of 18 Fed officials expecting another 50bp later this year. "July is live, Fed Chair Powell reiterated. Aside from short end SOFR options, 5Y Tsy puts drew larger blocks
  • SOFR Options:
    • 4,000 SFRQ3 94.50/94.75 3x2 put spds, ref 94.68
    • 1,500 SFRN3 94.75/94.93/95.12 call flys, ref 94.675
    • Block, 2,500 SFRN3 94.56/94.68/94.75/94.81 put condors, 0.5 belly over
    • 1,000 SFRN3 94.43/94.50/94.62/94.68 put condors ref 94.68
    • Block, 5,050 SFRM3 94.81/94.87 put spds, 5.25 ref 94.7875
    • 3,000 SFRQ3 94.81/95.00/95.18 call flys ref 94.69
    • 1,500 SFRZ3 93/87/94.37 put spds vs. 95.00/95.50 call spds ref 94.79
    • 2,000 SFRQ3 94.37/94.62 3x2 put spds, ref 94.70
    • 3,000 SFRN3 94.68/94.93/95.12/95.37 call condors ref 94.695
    • 1,000 SFRZ3 96.00/96.25/96.62/96.75 call condors, ref 94.795
    • 1,375 SFRU3 94.25/94.50 put spds ref 94.67
    • 4,000 SFRZ3 94.31 puts, 9.5 ref 94.795
  • Treasury Options:
    • 2,500 TYQ3 113.5 puts ref 112-24
    • Block, 5,000 TYQ3 112 puts, 39 vs. 107-21/0.60%
    • over 22,500 FVN3 109.25 puts, 2 ref 107-17.5
    • Block, total 16,000 FVN3 109.25 puts, 147-152 vs.
    • Block, total 14,000 FVN3 109.5 puts, 163-204 ref 107-17.75 to -17.5
    • Block, 10,000 FVQ3 109.5 calls, 11 ref 107-23.25
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