Late SOFR/Treasury Option Roundup: 10Y Midcurve Calls

Mixed trade on rather decent volumes were reported Thursday, better puts on net as underlying futures reversed the post-CPI data bid to broadly weaker in through the second half. A notable shift in derivatives occurred as rate hike projections into year end cooled, spurring some chunky upside call buying in the short end. Of note, paper bought over 80,000 wk2 TY 112.5 calls that expire tomorrow, at 1-2 with underlying futures trading at 110-28. Note, TYU3 traded as high as 111-29 after this morning's CPI data while Friday sees the next inflation metric with July PPI released.

• Treasury Options:
  • 2,000 USU3 118/119 put spds, 11 ref 121-19
  • +20,000 TYU3 110/111/111.5 put trees, 3
  • 8,500 TYU3 110 puts, 12 last ref 111-11.5
  • Update, over 80,000 wk2 TY 112.5 calls, 2.0-1.0 ref 111-18
  • 6,200 TYU3 110.25/110.5/111.25 broken put trees ref 111-08.5
  • 4,600 FVU3 104.5 puts, 1.5 ref 106-30 to -30.25
  • 2,800 FVU3 103.5 puts, 1 ref 106-31 to -29.5
• SOFR Options:
  • 2,000 SFRZ3 94.18/94.37/94.62 put flys
  • Block, 20,000 SFRU3 94.62/94.68 call spds .25 over SFRU3 94.50 puts ref 94.615
  • Block, 5,000 SFRZ4 95.25/95.75/96.25 put flys, 7.0 ref 96.04
  • +10,000 SFRH4 95.00/96.00/96.25 1x1x2 broken call trees, 0.5
  • over 10,600 SFRM4 96.00/97.00 call spds 13.0 ref 95.30
  • 3,000 SFRZ3 94.25/94.50/94.75/95.00 call condors ref 94.66
  • 6,600 SFRZ3 94.00 puts, 0.75 ref 94.66
  • Block, 8,880 SFRF4 94.00/94.25 put spds, 2.0 vs. 94.905/0.05%
  • 4,500 SFRQ3 94.56 puts, .75 ref 94.595
  • over 10,100 0QQ3 95.56 puts, 2.0 ref 95.72
  • Block/screen, 11,750 0QZ3 95.62/96.00 put spds 15.5 vs. 2QZ3 96.12/96.50 put spds, 14.0
  • Block, 5,000 0QV3 95.87/2QV3 96.37 put spds, 0.5 net/short Oct over
  • 2,200 SFRF4 95.37/95.75 call spds ref 94.91
  • Block, 3,000 0QZ3 95.50/95.62/95.87 put flys, 6.0 ref 96.025
  • 8,250 0QU3 95.25/95.50/95.75 put trees ref 95.68
  • Block, 8,000 SFRQ3 94.62/94.68 call spds, 0.5 ref 94.595
  • 2,500 SFRM4 94.25/95.00 put spds ref 95.27
  • 5,000 SFRV3 94.93 calls ref 94.645
  • 2,000 SFRQ3 94.43/94.56 put spds ref 94.595
  • 3,000 2QQ3 96.62/96.75 call spds ref 96.48
  • 2,000 SFRV3 94.62/94.93 1x2 call spds ref 94.64 to -.635
  • 3,000 0QQ3 95.6875 calls, 5.5 ref 95.655 to -.67