Late SOFR/Treasury Option Roundup

Consistent low-delta put trade in SOFR options carried over from overnight while Tsy options saw better 10Y call fly trade on lighter volumes. Gist of short-end trade: while pivot to 25 bps hike at the Feb 1 FOMC largely expected, Fed speakers before Fri's blackout expressed likelihood of continued hikes out the curve.

• SOFR Options:
  • Block, Total 20,000 SFRU3 94.87/95.25/95.50 broken put trees, 9.25 net/splits
  • Block, total 72,000 OQM3 95.50 puts, 0.5 ref 96.61
  • Block, +10,000 SFRM3 94.62/94.75 put spds, 1.0 ref 95.105
  • +3,000 SFRU3 94.87/95.12/ 2x1 put spds, 1.5 ref 95.26
  • Block, total 10,000 OQJ3 96.00 puts, 7.5 ref 96.635 -.64
  • Update, total +2000 OQM3 95.00/95.50/96.00 2x3x1 put flys, 2.5 ref 96.63
  • 2,750 OQH3 95.87/96.12 2x1 put spds ref 96.18
  • Block, total 8,000 OQZ3 95.75/96.25 put spds 9.0 ref 97.115
  • 2,500 SFRH3 95.25/95.31 call spds, ref 95.16
  • 3,000 OQH3 95.75/95.93 3x2 put spds, ref 96.19
  • 3,500 OQJ3 95.00/95.50/96.00 put flys ref 96.68
  • 6,000 SFRM3 95.37 calls, 4.75-4.5 ref 95.115
  • Block/screen, 11,500 OQK3 95.00/95.50/96.00 put flys, 4.5 ref 96.70 -.685
  • Block, 2,500 OQH3 94.5 puts, cab ref 96.195
  • 6,000 SFRM3 95.18/95.31 put spds ref 95.115
• Treasury Options:
  • -20,000 TYG3114.25/115.25/116.25 call flys, 24-19 ref 114-23.5
  • 2,000 TYH3 119/120 call spdsref 114-26
  • 14,000 FVH3 109.25/109.5 put spds, 7.5 ref 109-14.5
  • 2,000 TUH3 103/103.5 call spds, ref 102-31.75
  • 1,200 TYG3 114.75/115/115.25 call flys, ref 115-02
  • 1,000 TYH3 116/117.5/119 call flys, ref 115-03
  • 1,000 TYH3 114.5/115.25/116 call flys ref 115-06.5