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Late Option Roundup

US TSYS

Mixed trade on net, early trade pared on net and leaned towards better call buying in the first half - fading the initial weaker underlying. Interest turned to some chunky put buying/rate hike insurance ahead of Fed Chairman Powell's Brookings speech before fading off late.

  • SOFR Options:
  • Block, total 5,000 SFRF3/SFRH3 94.62/95.00 put spd spds, 2.5 net/March over
  • Block, 4,000 short Feb 97.00 calls, 3.0 vs. 95.765/0.07%
  • Block, 20,000 SFRH3 94.87/95.25/95.75/95.50 broken put condors, 3.25 net/wings over ref 94.995
  • Treasury Options:
  • +5,500 FVF 109 calls, 26 ref 108-15
  • 10,000 TYF3 111.25 puts, 16 ref 113-11.5

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