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Late SOFR/Treasury Option Roundup

US TSYS

Volumes picked up as the session wore on, overall trade still revolving around downside puts, positioning for hikes to continue into this fall.

  • SOFR Options:
    • 11,500 SFRN3 94.81/94.93/95.06 put flys, ref 94.915
    • 11,500 SFRU3 94.87/95.00/95.12 put flys, ref 94.915
    • Block, update over 30,000 2QH3 96.50 puts, 6.5-7.0
    • Block, 5,000 SFRJ3 94.62 puts, 2.75 ref 94.85
    • 2,500 SFRU3 94.87/95.00/95.12 put flys, ref 94.92
    • Block, total 10,000 SFRZ3 96.25/96.75 call spds, 4.5
    • 5,000 SFRM3 94.62/94.75/94.93 2x3x1 broken put flys
    • Block, 2,500 SFRM3 94.62/94.75 3x2 put spds, 2.75 net ref 94.875
    • Update, over -20,000 SFRM3 94.62/95.12 put over risk reversals 0.0-0.5
    • +5,000 SFRU3 94.25/95.00 3x1 put spds, 14.5 vs. 94.955/0.20%
    • Block, 10,000 SFRZ3 93.93/94.00 put spds, 0.5 ref 95.255
    • Block, update 19,000 SFRU3 94.00/94.50 put spds, 6.0 ref 94.965
    • -4,000 SFRM3 94.62/95.12 risk reversal, 0.0 -p vs. 94.875/0.44%
    • 2,000 SFRJ3 94.37/94.62/94.87/94.93 put condors ref 94.885
    • Blocks, 14,000 SFRU3 94.00/94.50 put spds, 6.0 vs. 94.96/0.15%
    • 1,500 SFRM3 94.56/94.68/94.81 put flys ref 94.885
    • 2,000 SFRJ3 94.50/94.75 put spds, ref 94.88
    • 3,500 SFRZ3 96.25/97.00/97.50 broken call flys, ref 95.275
    • Block, 2,500 SFRM3 94.62/94.75/94.87 put trees, 1.0 ref 94.87
  • Treasury Options:
    • 15,000 FVH3 107.5 puts, 9.5-10.5 ref 108-11.25 to -13.25
    • over 16,000 TYH3 112.25 puts, 14-11 ref 113-22 to -15.5
    • 5,000 TUH3 102.25 puts, 8 ref 102-11.75
    • 2,400 USH3 126 puts, 22 ref 128-25
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