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Late SOFR/Treasury Option Roundup

US TSYS

Better first half upside call buying evaporated in the second half as the post-BOC tied rally in underlying FI futures leveled out. Salient trade:

  • SOFR Options:
    • Block, 3,000 SFRH3 97.12/97.50 call spds, 0.5
    • 4,000 SFRZ2 95.62/95.75 3x2 call spds
    • Block/screen, 30,000 Green Nov 96.37/96.56/96.75 call flys, 2.5
    • 3,000 SFRZ 95.68/95.87/96.06 call flys
  • Treasury Options:
    • 15,000 FVZ2 105.5/106.75 put spds, 34
    • 10,000 TYZ 111.5 calls, 56 ref 111-03
    • Blocks, +15,000 TYZ2 112.75/114 call spds, 17-18 ref 110-29.5 to -30
    • -5,000 TYZ2 110.75 straddles, 222
    • +5,000 TYZ 111.25 calls, 61 ref 110-25.5
    • Blocks, 15,000 TYZ2 112.5 calls, 32-33 ref 110-24.5
    • Block/screen total +20,000 TYZ2 112.5 calls, 31 ref 110-26
    • 3,500 FVZ2 105.5/106.75 put spds
    • 7,000 TYZ 108/109 put spds, 12
    • 2,500 TYZ2 108/108.25/109.5 broken put flys
    • Block, 5,000 TYZ2 112.25/113 call spds, 15, more on screen
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