Late SOFR/Treasury Option Roundup

Low delta puts and put spreads continued to drive FI option volumes Wednesday though flow receded in second half as underlying rates held near middle of session ranges.

• SOFR Options:
  • Block, 20,000 SFRU3 94.68/95.18 put spds, 25.75 on splits ref 94.925
  • Block, 10,000 SFRU3 94.37/94.50/94.62/94.75 put condors, 2.0 ref 94.92
  • +18,600 ERH4 97.75 calls, 6.5 ref 96.74
  • +5,000 SFRK3 94.56/94.68/94.75/94.87 put condors, 3.5 ref 94.85
  • Block, 40,000 SFRU 94.12/94.62 put spds, 8.5 ref 94.95
  • Block, update +20,000 SFRZ3 93.75/94.25 put spds, 3.5 ref 95.265 -.245
  • Block, 12,000 SFRU3 94.00/94.50 put spds 5.75 on splits vs. 94.97/0.14%
  • 5,000 SFRK 95.12/95.50 call spds
  • Block, 5,000 SFRM3 94.62/94.75 put spds, 3.25 ref 94.86
  • 8,000 SFRN3 94.50/94.75/95.00 put flys, ref 94.955
  • Block, 8,000 OQH3 95.12/95.31/95.43/95.62 put condors, 4.5 ref 95.75
  • 11,000 SFRH3 95.00/95.06/95.18/95.25 put condors ref 95.09
• Treasury Options:
  • 10,000 TYH3 112.5/113.5 2x1 put spds, 2 net ref 113-11.5
  • over 7,700 TYH3 112.5 puts, 23 ref 94.95
  • over 3,000 TYH3 113.25 puts, 36 ref 113-16
  • Block, 2,500 TYH3 114.5/115 put spds, 25 ref 113-14