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Trend Outlook Remains Bearish

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BLOCK, Jun'23 SOFR/Eurodlr Call Spd

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Late SOFR/Treasury Option Roundup

US TSYS

While the Asia Lunar New Year holiday has kept overall volumes muted this week - SOFR option volume remains robust with focused on low-delta puts/spds (hedging extended rate but smaller hikes). Wed the first time since last week where a shift in low delta call and call spds after more consistent put trade has been noted. Salient trades in the list below include +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5 and 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%. Puts include 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30.

  • SOFR Options:
    • Block, 8,000 SFRJ3 95.37/95.50 call spds, 1.25 ref 95.13
    • Block, +8,000 SFRJ3 95.31/95.56 call spds, 2.5 vs. 95.135/0.15%
    • BLOCK, 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30
    • Block/screen, +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5
    • Block, 5,000 SFRU3 96.25/96.75 call spds, 2.5 ref 95.295
    • 3,250 SFRJ3 95.25/95.37/95.31/95.37 call condors
    • 3,000 SFRZ3 94.75/95.00/95.25 put flys, 3.0
    • -10,000 SFRU3 95.62 calls, 12.0 vs. 95.275/0.28%
    • Block, 5,000 OQM3 97.25/3QM3 97.75 call spd, 1.5 short Jun over
    • Block, 5,000 SFRZ3 97.00/97.50 call spds, 3.0 vs. 95.665/0.05%
    • Block, 5,000 SFRJ3 95.25/95.37 call spds, 1.75 vs. 95.09/0.11%
    • 2,500 SFRK3 95.18/95.31/95.50 call trees
    • 2,000 SFRH3 96.75/97.50/98.00 broken call flys ref 96.15
    • Block/screen, 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%
    • 1,250 SFRK3 95.25/95.31 call spds vs. SFRN3 95.06/95.18/95.25/95.37 call condors
    • 1,250 SFRN3 95.06/95.18/95.31/95.50 call condors ref 95.265
    • 3,000 SFRM3 95.12/OQM3 96.12 call spds
  • Treasury Options:
    • 8,500 TYG3 114/114.5 put spds vs. TYH3 111/112 put spds
    • 1,800 TYH 112.5/113.5/115.5/116 broken put condors ref 115-06
    • 12,000 TYG 114.75/115 put spds, 5
    • 2,500 TYG3 115.75/116.25 call spds
    • 2,500 FVH3 111 calls, 11 ref 109-20.75
    • 7,500 TYG3 116 calls, 4 ref 115-06
    • 8,500 TYG3 114/114.5 put spds, 4 ref 115-03.5 -04
    • 2,000 TYG3 115.75 calls, 4 ref 115-02.5
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While the Asia Lunar New Year holiday has kept overall volumes muted this week - SOFR option volume remains robust with focused on low-delta puts/spds (hedging extended rate but smaller hikes). Wed the first time since last week where a shift in low delta call and call spds after more consistent put trade has been noted. Salient trades in the list below include +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5 and 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%. Puts include 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30.

  • SOFR Options:
    • Block, 8,000 SFRJ3 95.37/95.50 call spds, 1.25 ref 95.13
    • Block, +8,000 SFRJ3 95.31/95.56 call spds, 2.5 vs. 95.135/0.15%
    • BLOCK, 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30
    • Block/screen, +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5
    • Block, 5,000 SFRU3 96.25/96.75 call spds, 2.5 ref 95.295
    • 3,250 SFRJ3 95.25/95.37/95.31/95.37 call condors
    • 3,000 SFRZ3 94.75/95.00/95.25 put flys, 3.0
    • -10,000 SFRU3 95.62 calls, 12.0 vs. 95.275/0.28%
    • Block, 5,000 OQM3 97.25/3QM3 97.75 call spd, 1.5 short Jun over
    • Block, 5,000 SFRZ3 97.00/97.50 call spds, 3.0 vs. 95.665/0.05%
    • Block, 5,000 SFRJ3 95.25/95.37 call spds, 1.75 vs. 95.09/0.11%
    • 2,500 SFRK3 95.18/95.31/95.50 call trees
    • 2,000 SFRH3 96.75/97.50/98.00 broken call flys ref 96.15
    • Block/screen, 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%
    • 1,250 SFRK3 95.25/95.31 call spds vs. SFRN3 95.06/95.18/95.25/95.37 call condors
    • 1,250 SFRN3 95.06/95.18/95.31/95.50 call condors ref 95.265
    • 3,000 SFRM3 95.12/OQM3 96.12 call spds
  • Treasury Options:
    • 8,500 TYG3 114/114.5 put spds vs. TYH3 111/112 put spds
    • 1,800 TYH 112.5/113.5/115.5/116 broken put condors ref 115-06
    • 12,000 TYG 114.75/115 put spds, 5
    • 2,500 TYG3 115.75/116.25 call spds
    • 2,500 FVH3 111 calls, 11 ref 109-20.75
    • 7,500 TYG3 116 calls, 4 ref 115-06
    • 8,500 TYG3 114/114.5 put spds, 4 ref 115-03.5 -04
    • 2,000 TYG3 115.75 calls, 4 ref 115-02.5