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Late SOFR/Treasury Option Roundup

US TSYS

Robust volumes on mixed trade Thursday - fading the eventual post-CPI rally, put volumes gained in the second half. Note: Wed's heavy call spd buying appear to be all new/openers: +100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63; 6,239 SFRG3 95.18/95.43 4x5 call spds, 13.0 vs. 95.115/100%; +30k+ SFRF3 95.12/95.18/95.25 call flys, 1.75-2.0. Large 45k SFRZ3 futures block sees OI gain 57k.

  • SOFR Options:
    • Block, total 20,000 SFRM3 94.93/95.31 2x1 put spds, 15.5
    • 5,000 SFRH3 95.37/95.50/95.62 call trees ref 95.15
    • Block, 2,500 SFRG3 95.06/95.18/95.25 broken put flys, 0.5 ref 95.15
    • Block, 10,000 OQH3 95.50/95.75 put spds, 3.5 vs. 96.235/0.10%
    • +5,000 SFRH3 95.18/95.31/95.43 call flys, 3
    • +5,000 SFRM3 94.81/95.06/95.31 call flys, 7
    • Block, 4,000 SFRZ3 96.25/96.75 call spds, 9.5 vs. 95.745/0.12%
    • 2,500 SFRU 95.00/95.50/96.00 call flys, ref 95.27
    • 10,000 SFRH3 95.12/95.18/95.25/95.37 call condors ref 95.12
    • 6,700 SFRF3 95.18 calls, 1.75 ref 95.12 -.115
    • 4,500 SFRM3 94.50/94.62 put spds ref 95.085
    • 8,000 SFRG3 94.87/95.00 put spds, ref 95.12
    • 4,000 SFRK3 94.93 puts, ref 95.08
    • 1,200 SFRG3/SFRH3 95.12 straddle spd
    • 5,250 SFRG3 95.00/95.12 put spds, ref 95.12
    • Block, 6,000 SFRK3 94.81/94.93/95.06 put flys, 2.75
    • Block, 14,000 SFRK3 94.81/94.93/95.06 put flys 0.5-.75 over 95.62 calls
    • 5,000 SFRH3 95.25/95.31/95.37 call trees ref 95.12
    • Block, 10,000 SFRU3 94.75/94.87/95.00 put flys, 1.5 vs. 95.255/0.05%
    • 4,000 SFRH3 95.18/95.25 call spds, ref 95.115
  • Treasury Options:
    • 48,300 Wk2 TY 114 puts 1 ref 115-09.5 (expire Friday)
    • Block, 7,500 TYG3 115/116 1x3 call spds, 8 net. 3leg over ref 114-31.5
    • 9,500 TYG3 116 calls, 13, total volume>20.8k ref 114-28
    • 2,000 FVG 108/108.5 put spds, 6.5 ref 109-25.5
    • Block, 40,000 FVH 110.5/111 call spds, 8.5 ref 109-16.75 to -17
    • 2,500 TYG3 114.25/115.25/116.25 call flys
    • 4,000 TYG3 111.75/113 put spds, 9 ref 114-17.5
    • 3,800 TYH3 116.5/117.5 call spds, 10 ref 114-17
    • 3,300 FVH3 106 puts, 4
    • 3,000 TUH3 103.12/103.37 call spds, ref 102-27.75
    • 10,000 TYG3 111 puts, 2 ref 114-16.5
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