Implied Vol Buoyed Post-NFP/ISM, Real Vol Delivered

Better put volumes on net reported Friday as SOFR and Treasury futures repriced increased rate hike expectations after the jump in January job gains of +517k, 2.75x larger than the mean estimate of 188k, and far stronger than expected ISM services 55.2 (cons 50.5).

• SOFR OPTIONS:
  • Block, 15,000 OQM3 95.43 puts, 5.5 ref 96.43
  • Block, 20,000 OQM3 95.50 puts, 5.5-6.0 ref 96.435
  • Block/screen -18,000 SFRU3 95.00/95.50/96.00 call flys, 11.5
  • Block, 5,000 SFRU3 94.25/94.50 put spds
  • over 5,500 SFRG3 95.06 puts, cab
  • Block, 5,000 SFRM3 94.62/94.75 put spds, 1.25 ref 95.03
  • Block, 7,500 SFRK3 94.75/94.87 put spds, 1.5 ref 95.045
  • +10,000 SFRZ3 95.50/97.50 call spds, 33.5-34.0 ref 95.545
  • 3,000 OQH3 95.50/95.62/95.87 broken put trees, ref 96.02 to -.025
  • Block, 7,500 OQH3 95.62/95.87 put spds, 3.5-4.0
  • 12,200 SFRJ3 95.00/95.06/95.12 put flys, 0.5 ref 95.13
  • Block, 4,000 SFRZ3 96.25/96.62 put spds, 6.5 ref 95.695
  • Block, 2,500 OQM3 96.12 puts, 12.0 vs. 96.665 vs. 96.665/0.24%
  • Block, 5,000 SFRZ3 97.00/97.50 call spds, 2.0 vs. 95.63/0.05%
  • Block, 6,000 OQM3 96.00/96.25/96.50 put trees, .25 net, 2-legs over ref 96.665
• Treasury Options:
  • 4,000 TYH3/TYJ3 119 call calendar spds, 7
  • 4,000 TUH2 102.75 puts, 13 ref 102-22.25
  • 5,000 FVJ3 108.5/109.75 put spds ref 109-25
  • +2,000 TYH3 114.5 straddles 128
  • Update, over 26,500 TYH3 114 puts, 27 last ref 114-22 vs. 14 earlier ref 115-16
  • 4,000 USH3 124/126 put spds, 7 ref 130-13
  • over 8,700 TYH3 114.75 puts, 28 ref 115-16.5
  • over 5,000 wk1 TY 114.75/115.25 put spds, 10 ref 115-15.5 to -16
  • 4,800 TUH3 102.5/102.75 put spds, ref 103-01