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Early SOFR/Treasury Option Summary

US TSYS

Better call trade overnight as underlying futures extend rally well past Wed's post-CPI related highs -- back to June 29 levels (TYU3 112-24.5 high). No obvious headline driver, more flow driven overnight with EGBs following suit. Upside call buying ahead this morning's weekly claims and PPI, while rate hike projections through year end continue to soften.

  • SOFR Options:
    • 1,700 SFRQ3 94.62 calls ref 94.63
    • Block/screen, 4,250 SFRZ3 94.50/94.62/94.75/94.87 put condors, 3.5 ref 94.725
    • 11,100 SFRZ3 94.87/95.00 call spds ref 94.73 to -.735
    • 1,000 OQU3 95.37/95.75 put spds vs. 2QU3 96.12/96.50 put spds
    • 2,000 SFRN3 94.62/94.75 call spds ref 94.63
    • 1,000 SFRU3 94.62/94.75/94.87 call flys ref 94.625
  • Treasury Options:
    • 2,700 TYU3 110/111 put spds, 12 ref 112-19
    • 2,000 FVU3 107.5 calls, 59 ref 107-24.5
    • over 10,400 FVQ3 108.5 calls, 5.5 ref 107-24.5
    • over 6,300 TYQ3 115 calls, 1 ref 112-23
    • 4,500 FVU3 107.5 puts, 42.5 last ref 107-25
    • 4,000 wk2 TY 111.75 puts, 4 ref 112-17
    • over 7,200 TYQ3 114 calls, 3 ref 112-16
    • 2,800 FCQ3 108 calls, 12.5 ref 107-21.5
    • 5,100 FVU3 108.5 calls, 28 ref 107-20.75
    • 3,000 TYU3 114.5 calls, 21 ref 112-10
    • 5,000 TYU3 112.5/114 call spds 1 over TYU3 111 put ref 112-09.5
    • 1,300 TYQ3 112.75/113.25 call spds ref 112-08.5

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