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Early SOFR/Treasury Options Roundup

US TSYS
  • Mixed trade on lighter volumes overnight, underlying futures modestly firmer with projected 25bp rate hike at one of the next four FOMC meetings holding steady.
  • SOFR Options
    • 6,000 OQU3 96.50/97.00 call spds vs. 2QU3 97.25/97.75 call spds
    • 2,000 SFRU3 94.43/94.62 put spds ref 94.645
    • 3,000 SFRU3 94.75/94.87 put spds ref 94.65
    • 3,000 OQU3 96.00/96.50/97.5 broken call trees ref 95.85 to -.855
  • Treasury Options:
    • over 5,100 TYQ3 114 calls, 22 ref 112-30
    • over 5,500 TYQ3 112 puts, 24 ref 112-28.5

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