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Early SOFR/Treasury Option Roundup: Mixed

US TSYS
  • Mixed overnight option trade with some decent volume in SOFR call structures while underlying futures trade softer in short end, projected 25bp rate hike at one of the next 3 meetings gaining traction this morning. Reminder, June SOFR options expiring as do final June Eurodollar futures and options.
  • SOFR Options:
    • 5,000 OQN3 96.50 calls ref 95.985
    • 4,000 OQQ3 96.50/97.00/97.50 call flys, ref 95.99 to -.985
    • 5,000 SFRM3 94.68/94.75/94.81 put flys, ref 94.785
    • Block/screen, 20,500 SFRU3 96.00/97.00 call spds, 1.75 ref 94.685 to -.69
    • 2,000 2QM3 96.75/97.12/97.50 call flys ref 96.65
    • Block/screen, over 12,250 SFRQ3 94.68 puts, 12.0 vs. 94.71/0.47%
    • 2,000 SFRN3 94.18/94.81 put spds ref 94.69
  • Treasury Options:
    • 4,000 USU3 114/118 put spds ref 127-18
    • 2,000 TYQ3 114/115 2x3 call spds ref 113-08
    • 1,500 TYN3 114.25 calls, 8 ref 113-11
    • 2,000 TYN3 113.5 puts, 27 ref 113-14.5
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