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Early SOFR/Treasury Option Roundup: June Policy Positioning

US TSYS
Predominantly low delta put and put structures drove overnight option trade. Decent positioning in June SOFR options that expire two days after the next FOMC on June 14.
  • SOFR Options:
    • 3,000 SFRZ3 94.18/94.68 put spds vs. 95.37/95.93 call spds ref 95.11
    • 2,000 SFRM3 94.84/95.12 call spds vs. 94.00/94.56/94.62/94.68 broken put condors
    • 6,000 SFRM3 94.93 calls, 0.5 ref 94.725
    • 2,000 SFRM3 94.75/94.81/94.87 put flys ref 94.7225
    • 2,250 SFRM3 SFRM3 94.62/94.75 2x1 put spds, ref 94.7225
    • 1,000 SFRM3 94.68/94.75/94.81 put flys ref 94.725
    • 1,000 SFRM3 94.68/94.75/94.81 2x3x1 put flys ref 94.7125
    • Block/screen, 15,000 SFRM3 94.68/94.75/94.81 put flys, 1.0 ref 94.71 to -.7125
    • 9,000 SFRM3 94.68/94.75/94.81/84.87 put condors ref 94.71 to -.7175
  • Treasury Options:
    • 4,000 TYN3 112 puts, 17 ref 114-04.5
    • 9,600 FVN3 108 puts, 25-25.5 ref 108-27 to -26.75
    • 6,900 FVN3 108.25/109.75 call spds, 44.5 ref 108-27.75
    • Block, 10,000 FVN3 108/110 put over risk reversal, 5.5 net ref 108-25.5
    • 2,000 TYN3 113.5 puts, 40 ref 114-06
    • 2,700 TYU3 110/110.5/111 put trees ref 114-13
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