Late SOFR/Treasury Option Roundup

Low delta put volumes in midcurves and longer expirys remain robust as underlying sells off - gradually pricing in chances of policy pivot back to 50bp hikes if inflation worsens (Mester).

• SOFR Options:
  • Block, 20,000 SFRH3 94.81/95.00 2x1 put spds, 1.0-1.25 ref 95.055 to -.0575
  • Block, 10,000 SFRZ3 94.50 straddle, 36 ref 95.01
  • Block, 46,000 OQM3 95.50 puts, 21.0 vs 95.79/0.44%
  • over +35,000 SFRH3 94.75/94.87 put spds, 0.5
  • -10,000 SFRU3 94.25 puts, 6.0 vs. 94.82/0.16%
  • 9,500 SFRN3 94.62/94.68/94.75 put flys, ref 94.785
  • 27,250 SFRZ3 98.00/100.0 put spds, parity
  • Block, +6,000 SFRZ3 95.00 straddles, 77.0 ref 94.97
  • 4,000 SFRU3 94.25 puts, 6.25 ref 94.765
  • 5,000 SFRH3 95.00 puts, 1.25 ref 95.05
  • Block, 6,000 2QH3 96.50 puts, 17.0 ref 96.455
  • Block, 5,000 OQJ3 95.50/95.75 put spds, 9.25/splits ref 95.85 to -.845
  • 1,300 SFRM3 94.75/95.00/95.25 call trees
  • over 3,000 SFRU3 94.25/94.50 put spds, 6.0 ref 94.82
  • over 9,900 SFRM3 94.62 puts/94.93 calls (strangle or combo)
• Treasury Options:
  • over 25,000 TYH 110.5 puts,
  • over 14,500 FVH3 107 puts, 12.5 ref 107-08 to -08.25
  • over 5,200 FVH3 108.5 calls, 1.5 ref 107-08.75 to -09.25
  • 5,000 TYH3 111/111.75 put spds, 17 ref 111-28
  • 6,000 TYH3 111/112 2x1 put spds, 16 ref 112-02 to -01
  • 1,800 TYH3 112/116/120 call flys, ref 111-26.5
  • 1,300 FVJ3 105/106.5/107.5 put flys ref 107-30.5
  • over 10,000 TYJ3 110 puts, 13 ref 112-25
  • 1,500 TYJ3 109.5/110/111 broken put flys ref 112-23.5
  • 2,500 TYH3 111.5/TYJ3 113 put diagonal spds, 34