Late SOFR Option Roundup

Fixed income options traded more mixed, leaning toward Tsy calls early Wednesday compared to better downside put trade Tuesday. Scale buying year end upside call spreads (+50k SFRZ3 95.50/96.50 call spds and +30,000 SFRZ3 95.75/96.75 call spds) were reported post-data as projected rate hike pricing eases, markets discounting mildly hawkish comments from Richmond Fed Barkin this morning. Put volume picked up in the second half as accounts faded the strength of the rally, anticipating a retrace in the days to come. Salient trade includes:

• SOFR Options:
• Block/screen 20,000 SFRZ3 94.56/94.68/94.81 put flys,
• Block, 8,000 SFRZ3 94.37/95.00 put spds, 38.5 ref 94.685
• 7,000 SFRZ3 94.00/94.12/94.25 put flys
• Block 7,500 SFRZ3 94.56/94.68/94.81 put flys, 1.5
• Update, +20,000 SFRH4 96.00/97.00 call spds, 10.0
• Block, 25,000 SFRU3 94.62/94.87 2x1 put spds, 14.0 ref 94.615
• Block, 5,000 SFRM4 96.00/OQM4 97.00 call spds, 1.0 net steepener
• +10,000 SFRZ3 94.00/94.12/94.25 put flys, 1.0
• 30,000 SFRZ3 95.75/96.75 call spds, 3.5 ref 94.67
• +50,000 SFRZ3 95.50/96.50 call spds, 4.5-5.0
• -3,600 SFRH4 93.37/93.75 put spds
• -10,000 SFRU3 94.37/94.50 2x1 put spds, 1.0
• 3,000 OQN3 95.43/95.50 put spds, 1.0 ref 95.675
• Block, 2,500 OQH4 95.00/96.00 put spds 3.5 over SFRH4 94.62 puts covered
• 4,000 OQZ3 94.50 puts ref 96.00
• 6,000 OQU3 95.50/2QU3 96.12 put spds
• +16,000 OQV3 95.62/95.87 put spds vs. 2QV3 96.12/96.37 put spds, 1.0 net db, flattener
• 1,500 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
• 7,500 SFRU3 94.50 puts, 0.5 ref 94.58
• 2,000 SFRN3 94.50/94.56 put spds ref 94.58
• 5,200 SFRN3 94.50 puts ref 94.585
• 4,000 SFRQ3 94.62/94.68/94.75/94.81 call condors ref 94.59
• 13,000 SFRQ3 94.56/94.62/94.68 call flys ref 94.58 to -.59