Late SOFR/Treasury Option Roundup

Heavy option volume in the lead up to - and after the FOMC pivot to 25bps hike, favored upside call and call structures Wednesday. Salient SOFR trade: over +91,000 SFRZ3 95.50/97.50 call spds, 33.5-35.0 ref 95.565 to -.575 as well as 16,000 SFRZ3 95.75/97.75 call spds ref 95.57. Notable 5Y limited upside opener: +24,000 FVJ3 112.25/112.75/113.25 call flys ref 109-31.75.

• SOFR Options:
  • Block, 20,000 SFRZ3 97.50/98.00 call spds
  • 4,000 SFRK3 95.31/95.43 call spds vs. 94.81/94.94/95.06 put flys
  • 2,000 SFRH3 95.12/95.25/95.37 call flys
  • 16,000 SFRZ3 95.75/97.75 call spds ref 95.57
  • over +91,000 SFRZ3 95.50/97.50 call spds, 33.5-35.0 ref 95.565 to -.575
  • 4,500 SFRU3 95.00/95.12/95.18/35.31 put condors ref 95.26
  • Block, 5,000 SFRG3 95.18/95.25 call spds, 1.5 vs. 95.175/0.10%
  • Block, 5,000 SFRM3 94.68/94.75 put spds, 0.5 ref 95.09
  • Block, 2,500 SFRN3 95.25/95.62 2x3 call spds, 15.5 vs. 95.28
  • Block, 6,486 SFRG3 95.12/95.18 put spds, 2.75 ref 95.17
  • 2,500 OQU3 96.00 puts, 11.0 ref 96.855
  • Update, over 28,500 SFRH3 95.12 puts, 2.0-2.5 ref 95.16 to -.165
  • over 5,800 2QH3 96.50/96.75 put spds, ref 97.11
  • 6,000 SFRG3 95.00/95.12 put spds, ref 95.165
  • 6,000 OQG3 95.75/96.00 put spds ref 96.075
  • 1,500 SFRG3 95.06/95.18/95.31 call flys, ref 95.16
  • 2,500 SFRN3 95.31/95.75 2x3 call spds ref 95.27
  • over 9,000 SFRH3 95.12 puts ref 95.16
  • 15,000 SFRH3 95.25/95.31 call spds ref 95.16
• Treasury Options:
  • 5,000 TYH 117/118 call spds, 9 ref 115-12.5
  • over 6,000 FVH3 111 calls 4.5 ref 109-12.75
  • over 7,600 FVH3 109 puts, 21 ref 109-15.5
  • 4,000 USH3 124/126/128 put flys, 13 ref 130-18
  • 24,000 FVJ3 112.25/112.75/113.25 call flys ref 109-31.75 - opener
  • over 5,100 TYYH3 115.75 calls, 26 ref 114-26
  • over 5,700 TYH3 116.5 calls, 12 ref 114-28.5 to -29
  • 3,000 TYH3 115/116 call spds ref 114-19.5