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Late SOFR/Treasury Option Roundup

US TSYS

Second consecutive session of heavier option volumes, SOFR and Treasury derivatives starting off with better low delta put buying/positioning while the former segued to better calls (mixed) and vol sellers in the second half. Chunky vol sales included -20k Dec'23 SOFR 95.68 and -15k 95.75 straddles, and -5k Red Dec'24 97.12 straddles at 115.0. Salient trade:

  • SOFR Options:
    • -15,000 SFRJ3 95.25/95.37 call spds 1.75 ref 95.14
    • -15,000 SFRZ3 95.75 straddles, 67.0 ref 95.70
    • 2,700 SFRZ3 95.50/95.75/96.00 put flys ref 95.715
    • Blocks, 17,000 SFRZ3 97.50/98.00 call spds, 1.5 ref 95.74
    • Block, 5,000 SFRU4 93.00/95.00 put spds, 6.0 ref 97.045
    • Block, -5,000 SFRZ4 97.12 straddles at 115.0 ref 97.17
    • Blocks, -20,000 SFRZ3 95.68 straddles, 67.0 ref 95.745
    • Block, 5,000 OQH3 95.62/95.87 put spds, 3.0
    • Block, 5,590 SFRM4 94.50/95.50 put spds, 9.0
    • +5,000 SFRJ3 94.87/94.93/95.06 put trees, 2.5
    • 26,000 OQH3 96.75/97.00/97.25 call flys, ref 96.21 - .205
    • Block, 3,000 SFRZ3 96.00/96.25 call spds 2.0 over 3QM3 97.75/98.00 call spds
    • Blocks, 15,000 SFRM4 94.00/95.00 put spds, 5.0-4.5 ref 96.71
    • Blocks, 10,000 SFRH4 94.00/95.00 put spds, 6.0-5.5 ref 96.215
    • 4,000 OQG396.25/96.37/96.50/96.62
    • 15,000 SFRJ3 95.00/95.06/95.12 put flys
    • 4,500 OQH3 96.75/97.00/97.25 call flys, ref 96.195
    • Block/screen, 13,500 SFRJ3 95.00/95.06/95.12 put flys, 0.5 ref 95.14
    • Block, 5,000 SFRK3 94.75/94.87 put spds, 0.75 ref 95.14
    • Block, 2,500 SFRM3 94.62/94.81 put spds, 1.0 ref 95.14
  • Treasury Options:
    • 7,250 USH 126/128 put spds, 8.0 ref 132-09
    • over 18,000 FVH3 108.25/109.25 put spds, 11 ref 110-02.75 to -02.5
    • 3,000 TYH3 115/117 strangles, 46 ref 115-19.5
    • 11,500 TUM3 102.5/102.75/103/103.25 put condors ref 103-19.12
    • -10,000 wk2 TY 115.75/116.25 call spds, 14 vs. 115-25.5
    • 5,000 TYH3 115.75/116.5 call spds, ref 115-25
    • +5,000 TYJ3 117 calls, 45-47
    • over +20,000 TYH3 113.5/114.5 2x1 put spds, 4 ref 115-18.5
    • 2,900 FVH3 108 puts, 3 ref 109-28
    • over 7,200 weekly 10Y 116/116.5 call spds
    • over 6,000 TYH3 114 puts ref 115-11
    • 5,000 FVH3 109 puts, 12 ref 109-26.75
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