Late SOFR/Treasury Option Roundup

Session flow focused on downside puts in SOFR options, new and re-positioning as underlying futures continued to unwind post-NFP strength, vol offered. Notable large put condor roll 5.5 net cr: +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs. -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085. Vol seller: appr -20,000 Dec SOFR 95.62 straddles from 81.0-2.0 since Monday.

• SOFR Options:
  • Block, 5,000 SFRU3 95.00/95.43 1x2 call spds, 0.5 net/2-leg over ref 95.245
  • 2,000 SFRU3 95.5/96.00/96.50 call flys
  • Block, 5,000 SFRU3 94.75 puts, 10.5 vs. 95.245/0.24%
  • Block, 9,500 SFRZ3 97.50/98.50 call spds, 3.5
  • Block, 2,500 SFRM3 94.68/94.81/94.93/95.06 put condors, 3.25
  • Block, 2,500 SFRU3 94.68/94.81/94.93/95.06 put condors, 2.0
  • Blocks, over -14,000 SFRZ3 95.62 straddles, 81.0-82.0
  • Block, total 5,030 SFRH3 94.93/95.06/95.18 put flys, 2.5
  • 7,750 OQF3 96.12/96.25 call spds, ref 96.075
  • 5,000 SFRF3 95.25/95.37 call spds, ref 95.105
  • 10,000 OQF3 96.00 puts, ref 96.075
  • Large put condor roll 5.5 net cr:
  • +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs.
  • -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085
  • 3,000 SFRF3 95.00 puts, 1.0 ref 95.11-.115
  • Block, 2,000 SFRH3 95.12/95.18/95.25/95.37 call condors, 1.0 net ref 95.115
  • 6,150 SFRG3 95.31 calls ref 95.105-.115
  • Block, 3,750 SFRG3 95.18/95.31/95.43 call flys, 2.5
• Treasury Options:
  • 1,000 USG 117/120/124 2x3x1 put flys ref 128-03
  • 6,000 TYG3 115 calls, 19 ref 113-31
  • over 27,000 TYG3 115.25 calls, 17-20
  • 10,000 wk2 TY 114.5 calls, 26 ref 114-02.5
  • 4,000 TYH3 111/112/114 broken put flys, 31 ref 114-05
  • 2,000 TYG3 110.5 puts, 2 ref 114-09
  • 1,500 TYG3 113/113.25/114 put trees, 1 net ref 114-09.5
  • +2,000 FVG 110 calls, 11
  • +7,150 FVH3 105.25 puts, 2 ref 109-04