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Early SOFR/Treasury Options Roundup

US TSYS

Mixed trade on lighter volumes overnight, underlying futures making modest gains. Salient trade:

  • SOFR Options:
    • 5,000 SFRU3 94.62/94.75/95.37/95.50 iron condors ref 95.14
    • over 11,600 SFRM3 94.75 puts ref 94.91 to -.905
    • Block, 5,000 SFRZ3 96.00/96.50/97.00/97.50 call condors, 5.5 ref 95.51
  • Treasury Options:
    • 5,500 wk4 10Y 113.5 puts, 4 ref 114-22
    • 9,000 TYM3 113.5 puts vs. 115/116.5 call spd 0.0 net ref 114-22
    • over 18,200 FVM3 111 calls, 17 ref 109-11.25
    • 8,600 FVM3 108 puts, 15.5-16 ref 109-08.75 to -09.5
    • 2,000 TYM3 117 calls, 17 ref 114-16.5
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