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Late SOFR/Treasury Option Roundup

US TSYS

FI option volume surged Wednesday, driven largely by upside call and call spreads as underlying futures climbed back near middle of the week's range. Yield curves bull flattened as rate futures reacted to softer inflation metrics and prospect of less aggressive forward rate hikes. Salient SOFR trade: buyer over 100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63.

  • SOFR Options:
    • Block, 19,979 SFRF 95.12 calls, 4.25 vs. 95.125/0.50%
    • Block, +10,000 SFRU3 95.00/95.25 3x2 put spds, 7.0
    • Block, 5,000 SFRG3 94.93/95.00/95.06 put flys, 0.75 net vs. 95.09
    • 5,000 SFRK3 94.68/94.93/95.18 put flys ref 95.08
    • Block, 10,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63 - adds to 100k traded on screen earlier
    • 5,000 SFRH3 95.31/95.43 call spds ref 95.125
    • +100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63
    • Block, 5,000 OQH3 95.50/95.75 put spds, 5.75 on splits ref 96.095
    • Block, 6,239 SFRG3 95.18/95.43 4x5 call spds, 13.0 vs. 95.115/100%
    • Block/screen 6,500 OQF3 96.25 calls vs. 2QF3 97.18 calls
    • Block, 2,500 OQF3 96.31 calls .5 over 2QF3 97.25 calls
    • 2,500 2QG3 97.37/97.62 call spds ref 97.065
    • Block, 2,000 SFRF3 95.12/95.25 call spds, 3.0 ref 95.12
    • 1,000 SFRH3 94.75/95.00/95.25/95.50 call condors ref 95.12
    • 1,000 SFRH3 95.37/95.50/95.62 call trees ref 95.12
    • 1,125 SFRH3 95.37/95.50/95.56 call trees ref 95.12
    • 1,395 SFRZ3 94.50/95.00/95.50 put flys, ref 95.665
    • 1,500 OQG3 95.5/95.62/96.00 broken put flys, ref 96.15
  • Treasury Options:
    • Over 14,800 TYG3 114.75 calls, 33 ref 114-09.5
    • Over 24,000 FVG3 109.5 calls, 22 ref 109-05.75
    • 5,000 TYG3 115.5/116.5 call spds, 12 ref 114-10.5
    • 22,300 TYG 111 puts, 2 ref 114-11 to -08.5
    • 1,800 TYG 112 puts ref 114-11.5
    • 1,700 TYG 113.25 puts vs. 114.5/115.5 call spds ref 114-06.5
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FI option volume surged Wednesday, driven largely by upside call and call spreads as underlying futures climbed back near middle of the week's range. Yield curves bull flattened as rate futures reacted to softer inflation metrics and prospect of less aggressive forward rate hikes. Salient SOFR trade: buyer over 100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63.

  • SOFR Options:
    • Block, 19,979 SFRF 95.12 calls, 4.25 vs. 95.125/0.50%
    • Block, +10,000 SFRU3 95.00/95.25 3x2 put spds, 7.0
    • Block, 5,000 SFRG3 94.93/95.00/95.06 put flys, 0.75 net vs. 95.09
    • 5,000 SFRK3 94.68/94.93/95.18 put flys ref 95.08
    • Block, 10,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63 - adds to 100k traded on screen earlier
    • 5,000 SFRH3 95.31/95.43 call spds ref 95.125
    • +100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63
    • Block, 5,000 OQH3 95.50/95.75 put spds, 5.75 on splits ref 96.095
    • Block, 6,239 SFRG3 95.18/95.43 4x5 call spds, 13.0 vs. 95.115/100%
    • Block/screen 6,500 OQF3 96.25 calls vs. 2QF3 97.18 calls
    • Block, 2,500 OQF3 96.31 calls .5 over 2QF3 97.25 calls
    • 2,500 2QG3 97.37/97.62 call spds ref 97.065
    • Block, 2,000 SFRF3 95.12/95.25 call spds, 3.0 ref 95.12
    • 1,000 SFRH3 94.75/95.00/95.25/95.50 call condors ref 95.12
    • 1,000 SFRH3 95.37/95.50/95.62 call trees ref 95.12
    • 1,125 SFRH3 95.37/95.50/95.56 call trees ref 95.12
    • 1,395 SFRZ3 94.50/95.00/95.50 put flys, ref 95.665
    • 1,500 OQG3 95.5/95.62/96.00 broken put flys, ref 96.15
  • Treasury Options:
    • Over 14,800 TYG3 114.75 calls, 33 ref 114-09.5
    • Over 24,000 FVG3 109.5 calls, 22 ref 109-05.75
    • 5,000 TYG3 115.5/116.5 call spds, 12 ref 114-10.5
    • 22,300 TYG 111 puts, 2 ref 114-11 to -08.5
    • 1,800 TYG 112 puts ref 114-11.5
    • 1,700 TYG 113.25 puts vs. 114.5/115.5 call spds ref 114-06.5