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Late SOFR/Treasury Option Roundup

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Carry-over put trade dominated Friday's session, including several net vol short put tree buys and put condors in short end SOFR options.

  • SOFR Options:
    • Block, 3,500 SFRU3 95.25/95.50 put spds, 14.5 ref 95.30
    • Block, 2,500 SFRU4 93/95 put spds, 9.0 ref 96.98
    • Block, 4,000 SFRU3 95.25/95.50 put spds, 14.5 ref 95.295
    • Block, 16,000 SFRU3 94.87/95.00/95.25 broken put flys, 7.5 ref 95.295
    • 5,000 SFRH3 95.62 vs. EDH3 95.37 call spds
    • +5,000 SFRJ 95.31/95.43 call spds, 2.0 (covers March FOMC)
    • +5,000 SFRU 95.00/95.50/96.00 call flys, 13.5
    • Block, 2,500 OQH3 95.75/96.00 put spds, 7.5 vs. 96.20/0.10%
    • Block/screen, +16,200 SFRG3 95.12/95.18/95.25 put trees, 1.25-1.5, ref 95.16-.15
    • 4,000 SFRZ3 95.00 puts, 12.0 ref 95.705
    • Block, 1,900 SFRU3 94.75/95.00/95.25 put trees, 4.0 ref 95.315
    • Block, 5,000 SFRH4 93.00/94.00 put spds, 2.5 vs. 96.195/0.05%
    • over 8,500 SFRU3 95.50 calls, ref 95.345
    • Block, total 7,500 SFRH3 95.12/95.37 call spds, 8.0 ref 95.17
    • 1,450 SFRG3 94.93/95.00/95.06/95.12 put condors ref 95.175
    • Block, 5,000 SFRH3 95.00/95.06/95.18/95.25 put condors, 3.25 ref 95.17
  • Treasury Options:
    • 3,000 TYH3 117.5 calls, 20 ref 115-05.5
    • 3,500 TYH3 116 calls, 47 ref 115-05
    • 5,000 wk3 TY 114/114.75 2x1 put spds, 3 net ref 115-05 (expire next Fri)
    • 5,000 TYG3 112 puts, 3 ref 115-00.5 -02.5
    • +5,000 USH3 121/123/125/127 put condors, 18
    • 2,000 USG3 127/127.5/128.5 broken put flys ref 130-14
    • 2,100 TYG3 114.25/115 2x1 put spds ref 115-09
    • 4,000 wk3 TY 112.75/113.75 put spds ref 115-07.5
    • 30,000 TYG 111/112 put spds ref 115-04
    • 2,000 TYG3 112.75/113.75 put spds, ref 115-03.5
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Carry-over put trade dominated Friday's session, including several net vol short put tree buys and put condors in short end SOFR options.

  • SOFR Options:
    • Block, 3,500 SFRU3 95.25/95.50 put spds, 14.5 ref 95.30
    • Block, 2,500 SFRU4 93/95 put spds, 9.0 ref 96.98
    • Block, 4,000 SFRU3 95.25/95.50 put spds, 14.5 ref 95.295
    • Block, 16,000 SFRU3 94.87/95.00/95.25 broken put flys, 7.5 ref 95.295
    • 5,000 SFRH3 95.62 vs. EDH3 95.37 call spds
    • +5,000 SFRJ 95.31/95.43 call spds, 2.0 (covers March FOMC)
    • +5,000 SFRU 95.00/95.50/96.00 call flys, 13.5
    • Block, 2,500 OQH3 95.75/96.00 put spds, 7.5 vs. 96.20/0.10%
    • Block/screen, +16,200 SFRG3 95.12/95.18/95.25 put trees, 1.25-1.5, ref 95.16-.15
    • 4,000 SFRZ3 95.00 puts, 12.0 ref 95.705
    • Block, 1,900 SFRU3 94.75/95.00/95.25 put trees, 4.0 ref 95.315
    • Block, 5,000 SFRH4 93.00/94.00 put spds, 2.5 vs. 96.195/0.05%
    • over 8,500 SFRU3 95.50 calls, ref 95.345
    • Block, total 7,500 SFRH3 95.12/95.37 call spds, 8.0 ref 95.17
    • 1,450 SFRG3 94.93/95.00/95.06/95.12 put condors ref 95.175
    • Block, 5,000 SFRH3 95.00/95.06/95.18/95.25 put condors, 3.25 ref 95.17
  • Treasury Options:
    • 3,000 TYH3 117.5 calls, 20 ref 115-05.5
    • 3,500 TYH3 116 calls, 47 ref 115-05
    • 5,000 wk3 TY 114/114.75 2x1 put spds, 3 net ref 115-05 (expire next Fri)
    • 5,000 TYG3 112 puts, 3 ref 115-00.5 -02.5
    • +5,000 USH3 121/123/125/127 put condors, 18
    • 2,000 USG3 127/127.5/128.5 broken put flys ref 130-14
    • 2,100 TYG3 114.25/115 2x1 put spds ref 115-09
    • 4,000 wk3 TY 112.75/113.75 put spds ref 115-07.5
    • 30,000 TYG 111/112 put spds ref 115-04
    • 2,000 TYG3 112.75/113.75 put spds, ref 115-03.5