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Late SOFR/Treasury Option Roundup

US TSYS

Volumes receded in the second half but tone remained bullish amid delta call buyers, put unwinds as underlying futures held narrow range near midmorning highs through the second half - last week's 75bp hike expectations for Dec continue to cool. Salient trade: SOFR Options:

  • 8,000 SFRZ2 95.75/95.87 call spds, 0.75 adds to +100k Mon from 0.75-1.0
  • +2,500 SFRZ2 95.37/95.50/95.56/95.68 call condors, 4.0
  • Eurodollar Options:
  • 5,000 Jun 95.00/95.25/95.50 call flys
  • Treasury Options:
    • 2,500 TYZ 110.75/111.25 call spds, 14 ref 110-25
    • 5,000 TYZ 111 calls, 107 ref 110-25
    • Over 11,000 TYZ2 114 calls, 12 ref 110-21
    • +4,000 wk2 113/114 call spds, 6 ref 110-09.5
    • -24,000 TYZ 108/110 put spds, 41 ref 110-06.5, total over 30,000, unwind after paper bought at 36 vs. 111-09 a couple weeks ago
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