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Late SOFR/Treasury Option Roundup

US TSYS

Heavy derivatives volume resumed Tuesday, focus on downside (rate hike) insurance buying via puts as markets continue to (re)price in more rate hikes out the curve. Salient SOFR trade, buyers over 100,000 Sep'23 SOFR 94.00/94.50 put spds from 5.5 to 6.0 on the day.
SOFR Options:

    • Block, +60,000 SFRU3 94.00/94.50 put spds, 6.0 vs. 94.955/0.14%
    • Blocks, 22,500 SFRU3 94.00/94.50 put spds, 5.5 ref 94.965
    • Blocks, +15,000 SFRH3 95.00/95.06/95.12 put trees 2.75-3.0
    • Block 5,000 SFRM3 94.50 puts, 3.0 vs. 94.855/0.10%
    • Block, -10,000 SFRM3 94.62/94.75 put spds, 3.5 (-13k total on day)
    • Block, +8,000 SFRG3 94.87/95.06 put spds, 0.75 ref 95.9 more offered in pit
    • 8,500 OQM 95.50/97.00 strangles, 18.5
    • Blocks, 15,000 SFRH4 93.75/94.75/95.75 put flys, 24.5 ref 95.75
    • Blocks, 12,000 SFRZ3 94.50/94.75/95.25/95.50 put condors, 9.0 ref 95.265 to -.275
    • BLOCK, 12,000 SFRU3 94.50/94.75/95.00/95.25 put condors, 9.0 ref 94.975
    • 10,000 SFRM3 94.68/94.81 put spds, ref 94.885
    • 5,000 OQH3 95.75/96.00 put spds, ref 95.785
    • Block, 3,000 SFRM3 94.62/94.75 put spds, 3.25 ref 94.875
    • Block, 4,000 SFRN3 94.87/95.00 put spds, 6.0 vs. 94.945/0.10%
    • 3,600 SFRH3 95.00/95.06/95.18/95.25 put condors ref 95.09
    • Block, 4,000 SFRG3 95.12/95.18/95.25 put trees, 3.0 vs. 95.105/0.70%
    • Block, 3,000 OQH3 95.87/96.00 put spds, 8.0 ref 95.78
    • 2,000 SFRU3 95.06/95.12/95.18/95.25 call condors ref 94.985
  • Treasury Options:
    • 12,400 TYH3 112/115 put over risk reversals, 7 ref 113-07.5
    • over 10,500 FVH 110 calls, 4.5 ref 108-15.75
    • 3,000 TYH3 114.25 calls, 27 ref 113-18
    • 2,600 wk2 TY 112.25/112.5/112.75/113 put condors ref 113-14.5
    • 2,400 FVJ3 108.25/109.75 put spds ref 108-31.75
    • 1,500 FVH3 106.5/107/108 broken put flys ref 108-15.25
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