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Early SOFR/Treasury Option Roundup: June SOFR Puts Ahead FOMC

US TSYS
  • Better put volume in SOFR options overnight, nearly all in June ahead today's FOMC annc (pause expected with a hawkish tone for forward guidance), June lead quarterly and midcurve options expire Friday. Treasury options mixed but on very light volumes.
  • SOFR Options:
    • 28,000 OQM3 94.56 puts, 0.5 ref 95.65
    • 2,000 OQM3 95.00/95.25/95.50 put flys ref 95.65
    • Block/screen, 4,900 SFRM3 94.75/94.81/94.88/94.93 put condors, 3.5
    • 2,000 SFRU3 94.68 puts
    • 6,000 OQM3 94.81 puts, .25
    • 5,000 SFRM3 94.68/94.75/94.81 put flys
    • 5,000 SFRM3 94.50/94.56/94.62 1x1x2 put trees ref 99.7725 to -.775
  • Treasury Options:
    • 1,000 FVN 106/107 put spds vs. 107/108 call spds ref 107-29.5
    • over 8,200 TYN3 112 puts, 14-15 ref 112-27
    • Block/screen, 9,000 FVQ3 109.5 calls, 14.5 ref 107-29.25

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