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Late SOFR/Treasury Option Roundup

US TSYS

Heavy spate of upside call and call spread trade in SOFR options Thursday, fading weaker underlying as traders built large policy-pivot positions to cover the next two Fed policy meetings.

  • SOFR Options:
    • Block, 12,400 SFRH3 95.43 calls, 0.5 ref 95.16
    • Block, 2,500 SFRU3 96.37/96.87 call spds, 2.5 ref 95.305
    • Block, 3,000 SFRU3 95.50/95.62 call spds, 3.5 ref 95.305
    • Block, 17,500 SFRG3 95.12/95.18/95.25 call flys, 2.0 ref 95.16
    • Block, 2,500 SFRU3 94.81/94.93/95.12 2x3x1 broken put flys ref 95.32
    • +8,000 SFRN3 94.68/94.75 put spds, .75
    • Block, 3,500 SFRU3 96.25/96.75 call spds, 3.0 ref 95.32
    • Block, 15,000 SFRG3 95.06/95.18/95.31 call flys, 6.5 ref 95.16
    • -11,000 SFRG3 95.31 calls, 0.5 ref 95.15 -.155
    • Block, 4,000 SFRK3 95.06/95.18/95.37 call flys, 1.0 vs. 95.14
    • 61,000 SFRM3 95.00/95.12/95.25/95.37 call condors, 3.5
    • Block, total 12,000 SFRH4 95.00/96.00 put spds, 25.0 ref 96.325 - .33
    • +15,000 SFRJ3 95.25/95.43 1x2 call spds, 1.0 ref 95.155
    • +20,800 SFRH3 95.12/95.18/95.25/95.37 call condors ref 95.175 (expire Mar 10) - adds to 5,000 Blocked earlier at 1.5, covers Feb FOMC:
    • +9,000 SFRJ3 95.31/95.43/95.56 call flys ref 95.175 (expire Apr 14) covers Feb and Mar FOMC:
    • (Note on call condor, on Wednesday appr +25,000 SFRJ3 95.06/95.12/95.25/95.37 broken call condors funded via sale of SFRJ3 94.87/94.93 put spds, 0.5 net db)
    • 3,000 SFRK3 94.75/94.87/95.00 put flys, 2.5 vs. 95.13/0.05% at 0642:44ET
    • 3,100 OQM3 97.00/97.25/97.50 call flys ref 96.86
    • Block, 5,790 OQM3 95.75/95.87 put spds, 1.5 ref 96.88
    • 11,000 SFRM 95.31/95.43/95.56 call flys ref 95.175
    • Block, 2,450 SFRZ3 95.25/95.37 put spds, 4.5 vs. 95.70/0.05% at 0243:16ET
    • Block, 2,000 SFRZ3 93.75/94.75/95.75 put flys, 25.0 ref 95.775 at 0212:56ET
  • Treasury Options:
    • 12,400 TYG3 116 calls, 18 ref 115-17
    • 9,300 TYH 112.5 puts, 11 ref 115-18.5
    • +2,600 TYJ3 110/112 put spds, 9 ref 116-08
    • 4,500 TYM3 112 puts, 36 ref 116-09.5
    • over 33,000 TYG3 113 puts, 1
    • 5,000 USH3 122/124/126/128 put condors, 21 ref 131-30
    • 4,000 USH3 128/136 strangles, 136 ref 131-31
    • 12,000 TYG 113/114 2x1 put spds, 2 net ref 115-21.5
    • Block, 10,000 FVH3 109 puts, 20.5 vs. 110-02.25/0.28%
    • 1,500 TYG 116.25/117/117.75 call flys
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