June 24, 2022 19:15 GMT
Difficult to draw any conclusions from Friday's FI option trade, flow two-way, mixed on light volumes, vol sellers in Treasury options as underlying futures scaled back from the week's rally (30YY climbed to 3.2640% high on day vs. 3.1632% low).
- SOFR options set the theme was flurry of limited up- and downside flys in late morning trade:
- +8,000 (3k Block) SFRQ2 97.12/97.25/97.37 call flys, 1.5
- +8,000 (3k Block) SFRU2 97.12/97.25/97.37 call flys, 1.25
- +5,000 SFRV2 95.75/96.00/96.25 put flys, 2.0
- Treasury Option vol sales via 10Y strangles included -7,500 TYQ 116/119 strangles, 62-61, -3,000 TYU 115/121 strangles, 114-112. Reminder, July Treasury options expire today.