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Early Treasury/SOFR Option Roundup

US TSYS
Continued buying in 10Y put condors followed by modest flurry put unwinds, midcurve calls on modest overnight volumes:
  • Treasury Options:
    • +5,000 wk3 TY 115 calls, 26 vs. 113-31 (+35k late Tue)
    • -5,500 TYF 113 puts, 28 ref 114-03.5
    • 15,000 TYH3 110.5/111.5/112.5/113.5 put condors, 11 (+100k Tue)
    • 10,000 TYF 110/111 put spds ref 114-11
  • SOFR Options:
    • Block, 1,250 SFRF 95.00/95.12 put spds 3.0 over 95.31 calls ref 95.08
    • 2,000 SFRF 94.75/95.00/95.62 broken call flys
    • 8,000 Green Dec 96.50/96.62 put spds

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