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Late SOFR/Treasury Option Roundup

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Consistent and varied put structures dominated Thursday's FI option trade, particularly in SOFR options hedging modest rate hike affect on mid-2023 to mid-2024. Limited downside put fly and funded condors include:

  • SOFR Options:
    • Block, 12,000 OQM3 95.50/95.75/96.25 put flys, 10.0 ref 96.56
    • Block, 7,000 SFRK3 94.81/94.93/95.06 put flys 2.25 over SFRK3 95.31/95.43 call spds
    • Block, 10,000 SFRJ3 95.25/95.37 call spds, 2.0 ref 95.105
    • Block, 20,000 OQM3 95.50 puts, 4.0 ref 96.58
    • Block, 7,000 SFRU3 94.50/94.87/95.12/95.5 put condors, 17.5 net vs. 95.28/0.10%
    • Block, 8,000 SFRJ3 94.87/95.00/95.12/95.18 broken put condors 0.5 over SFRJ3 95.31/95.43 call spds
    • +15,000 SFRK3 94.75/95.00 2x1 put spds, 3.5
    • Block, 6,000 OQH3 96.37/96.75 call spds 2.0 over 95.62/95.87 put spds vs 96.135/0.34%
    • Block, 5,000 SFRU3 95.25/95.50 put spds, 15.5 vs. 95.275/0.10%
    • Block, 6,000 SFRH4 95.00/96.00 put spds 28.5 vs. 96.15/0.25%
    • 2,000 OQG3 96.50/96.75/97.00 call flys ref 96.175
    • Block, total 6,500 SFRZ3 94.62/94.87/95.12/95.37 put condors, 6.0 vs. 95.625/0.05%
    • 6,000 OQM3 96.00 puts ref 96.625
    • 2,000 SFRM3 95.06/95.12 put spds ref 95.14
    • 21,000 OQH3 96.75/97.00/97.25 call flys ref 96.195
    • 4,000 SFRZ3 94.25/95.00/95.50 broken put flys, ref 95.67
    • 1,500 SFRU3 94.25/94.75/95.25 put flys ref 95.32
  • Treasury Options:
    • 1,500 TYH3 116.5/117.5 call spds, 9 ref 114-28
    • 1,700 FVK3 107.75/112.25 strangles around 35.5 ref 109-29.75
    • 2,500 FVH 112 calls, 3 ref 109-15.25
    • 1,500 TYG3 111/112/113.5 put trees, 14 ref 114-29
    • over -5,500 TYH3 118 calls, 8 ref 115-00
    • 3,000 FVG3 110 calls, 2.5 ref 109-18.25
    • over 10,000 TYH3 111/112 put spds ref 114-31
    • Over 13,000 TYG3 114 puts, 1-2 ref 115-04 to 114-23
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Consistent and varied put structures dominated Thursday's FI option trade, particularly in SOFR options hedging modest rate hike affect on mid-2023 to mid-2024. Limited downside put fly and funded condors include:

  • SOFR Options:
    • Block, 12,000 OQM3 95.50/95.75/96.25 put flys, 10.0 ref 96.56
    • Block, 7,000 SFRK3 94.81/94.93/95.06 put flys 2.25 over SFRK3 95.31/95.43 call spds
    • Block, 10,000 SFRJ3 95.25/95.37 call spds, 2.0 ref 95.105
    • Block, 20,000 OQM3 95.50 puts, 4.0 ref 96.58
    • Block, 7,000 SFRU3 94.50/94.87/95.12/95.5 put condors, 17.5 net vs. 95.28/0.10%
    • Block, 8,000 SFRJ3 94.87/95.00/95.12/95.18 broken put condors 0.5 over SFRJ3 95.31/95.43 call spds
    • +15,000 SFRK3 94.75/95.00 2x1 put spds, 3.5
    • Block, 6,000 OQH3 96.37/96.75 call spds 2.0 over 95.62/95.87 put spds vs 96.135/0.34%
    • Block, 5,000 SFRU3 95.25/95.50 put spds, 15.5 vs. 95.275/0.10%
    • Block, 6,000 SFRH4 95.00/96.00 put spds 28.5 vs. 96.15/0.25%
    • 2,000 OQG3 96.50/96.75/97.00 call flys ref 96.175
    • Block, total 6,500 SFRZ3 94.62/94.87/95.12/95.37 put condors, 6.0 vs. 95.625/0.05%
    • 6,000 OQM3 96.00 puts ref 96.625
    • 2,000 SFRM3 95.06/95.12 put spds ref 95.14
    • 21,000 OQH3 96.75/97.00/97.25 call flys ref 96.195
    • 4,000 SFRZ3 94.25/95.00/95.50 broken put flys, ref 95.67
    • 1,500 SFRU3 94.25/94.75/95.25 put flys ref 95.32
  • Treasury Options:
    • 1,500 TYH3 116.5/117.5 call spds, 9 ref 114-28
    • 1,700 FVK3 107.75/112.25 strangles around 35.5 ref 109-29.75
    • 2,500 FVH 112 calls, 3 ref 109-15.25
    • 1,500 TYG3 111/112/113.5 put trees, 14 ref 114-29
    • over -5,500 TYH3 118 calls, 8 ref 115-00
    • 3,000 FVG3 110 calls, 2.5 ref 109-18.25
    • over 10,000 TYH3 111/112 put spds ref 114-31
    • Over 13,000 TYG3 114 puts, 1-2 ref 115-04 to 114-23