Late SOFR/Treasury Option Roundup

Better put volumes persist but direction has changed to include some large position unwinds for some accounts. Getting out while the getting is good? Paper sold -55,000 TYH3 111/112 put spreads at 12, an unwind from 4-6 low bought late January. Good timing as market pricing of rate hikes at the next FOMC on March 22 remains anchored at 25bp. Meanwhile, implied hikes for mid- to year end have risen Tuesday as several Fed speakers expressed the need for continued rate hikes and/or the risk of not hiking enough. Salient trade includes:

• SOFR Options:
  • Block, 5,000 SFRZ3 95.00 puts, 40.0
  • Block, 10,000 2QH4 96.25 puts, 7.0 ref 96.53
  • Block, 5,000 SFRZ3 94.62/95.12/95.62 put flys, 10.5 ref 94.985
  • Block, total 35,000 SFRH3 95.12/95.31 2x1 put spds, 9.0-10.5 ref 95.06-.0625
  • Block, -20,000 SFRZ3 94.37/95.12 put spds 29.0
  • +10,000 SFRN3 94.50/95.50 put over risk reversals 6.5 vs. 94.81/0.36%
  • Block, 3,000 OQJ3 95.75/2QJ3 96.50 put calendar, 1.0 short Apr over
  • 5,000 SFRM3 94.93/95.06 put spds ref 94.805
  • Block, 2,500 SFRJ3 94.68/94.81/94.87/94.93 put condors, 1.0 net
  • 5,700 SFRM3 94.43/94.62/94.81 put flys ref 94.805
  • Block, 10,000 SFRM 94.62/94.75 put spds, 4.5 vs. 94.79/0.14%
  • 5,000 OQM3 97.25 calls ref 96.07
  • Block, 8,000 SFRJ3/SFRK3 94.62/94.75 put spd spd, 0.5 net/May over
  • 2,500 OQJ3 95.25/95.62/96.00 put flys vs. 2QJ3 96.25/96.50 put spds
  • over 5,000 OQJ3 96.50 calls, 11.0 ref 96.075
  • Block, 5,000 SFRM3 94.68/94.81 put spds, 5.5 ref 94.805
  • 2,500 SFRM3/SFRU3/SFRZ3 94.68 put strip
  • 5,500 OQH3 95.81/96.00 call spds ref 95.605 - .61
• Treasury Options:
  • Ongoing 8,500 FVH3 107/107.5 put spds, 12.5 from 7 low
  • -10,000 TYH 113/TYJ 111.5 put diagonal spds, 27-26 march over
  • Block, 12,985 wk3 TY 111.25/112.25 put spds, 18, 5k more on screen
  • 1,380 USH3 123/126 put spds 15 over USH 131 calls, ref 127-19
  • 2,500 TYH3 111.75 puts, 14
  • over 20,000 FVH3 109 calls, 2
  • 4.000 FVH3 107/107.5 puts, 7 ref 107-19.5
  • 3,200 FVH3 107.5/108 put spds, 15 ref 107-22.5
  • 1,600 FVJ3 107/108.25 2x1 put spds ref 107-30.75
  • 5,000 FVH3 107.25 puts, 7 ref 108-01.75
  • over 11,000 TYH3 111.75 puts, 13 ref 113-01
  • over -55,000 TYH3 111/112 put spds, 12, unwind from 4-6 low bought late Jan
  • over 6,000 wk3 FV 109 calls 4.5 ref 108-00.25
  • 3,300 TYK 115 straddles, 258 ref 112-30.5 to -31.5
  • 4,000 TYH3 112.25 puts 7 over TYH 113/113.75 call spds ref 112-30
  • 4,900 TYH3 111.5/112 2x1 put spds ref 112-29