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Late SOFR/Treasury Option Roundup

US TSYS

Pick-up in rate hike insurance positioning in late 2023 to 2024 Wednesday, strong Retail Sales green-lighting a longer period of rate hikes. Salient trade:

  • SOFR Options:
    • Block, 9,000 2QH3 96.50 puts, 15.5 ref 96.485
    • Block, total 10,000 SFRM4 94.50/95.50 2x1 put spds, 13.5
    • Block, 46,000 OQM3 95.50 puts, 24.5 ref 95.765
    • Block, 5,000 OQM3 95.50/95.87/96.50 2x3x1 broken put flys, 67.0 net, wings over ref 95.735
    • over 6,100 OQH3 95.12 puts, 8.0 ref 95.33
    • Block, 5,000 OQJ3 96.12 calls, 14.0 ref 95.83/0.33%
    • Block, 15,000 OQM3 94.50/95.12/95.75 put flys, 13.0 ref 95.83
    • 1,000 OQJ3 95.37/95.62/95.75/96.00 put condors ref 95.83
    • 2,000 SFRJ3 95.12/95.18 call spds ref 95.055
    • 2,000 3MG3 111.25/111.5/112.25/112.5 put condors, 6.0 ref 112-12
    • 3,000 SFRZ3 94.00 puts, 8.5 ref 94.99
    • 2,600 SFRM3 95.18 calls, 1.25 ref 94.745
    • 1,500 SFRM3 95.06/95.18/95.31 call flys ref 94.745
    • Block, 3,000 OQH3 94.87/95.25 2x1 put spds, 6.0 vs 95.40/0.12%
  • Treasury Options:
    • 3,000 TYJ3 109/110 2x1 put spds, 2 net/2-leg over ref 112-18.5
    • 4,000 TYK3 115.5/116.5 call spds, 14 ref 112-18
    • over 5,700 USH3 124 puts, 12 ref 126-25
    • 27,000 wk3 TY 112 puts, 4 ref 112-06
    • Block, 5,000 SFRM3 94.50/95.50 2x1 put spds, 13.0
    • over 4,000 USJ3 124 puts, 40 ref 128-14
    • over 3,700 TYJ 113 puts, 38 ref 112-31.5
    • 3,000 TYH3 111 puts, 5 ref 112-15
    • 2,600 TYJ3 114.5 calls, 28 ref 113-02
    • 2,500 TYH3 111.25/113.5 call spds, 111 ref 112-13.5

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