Late SOFR/Treasury Option Roundup

Heavy option volumes centered on outright put and put spd buying, opening and position adjusts as underlying gradually prices in chance of more than 25bp hike(s).

• SOFR Options:
  • Block, 20,000 SFRU3 94.06/94.62 put spds, 16.5 ref 94.745
  • Block, 7,500 SFRM3 94.50/94.75 3x2 put spds, 15.5 ref 94.725
  • -30,000 SFRM3 95.00/95.12/95.25/95.37 call condors, 1.0 ref 94.72 (unwind, >+60k, 3.5 on Jan 19)
  • Block, 20,000 SFRH3 94.81/94.93 put spds, 1.0 ref 95.0275
  • Block, 20,000 SFRH3 94.75/94.93 put spds, 1.25 ref 95.0275
  • Block, 10,000 SFRZ3 94.06/94.18/94.31 put flys, 0.75 net/splits ref 94.945
  • Block, update 10,000 OQJ3 95.50/95.75 put spds, 10.0-9.5 ref 95.765 -.81
  • Block, 10,000 SFRZ3 94.50/95.50 strangles, 39.0 ref 94.95
  • Block, 7,500 2QH3 96.50 puts, 18.5 ref 96.445
  • 2,000 SFRH3 94.75/94.81/94.93/95.06 put condors ref 95.0225
  • 2,000 SFRZ3 94.25/94.75/95.00/95.50 put condors ref 94.93
  • Block, 12,000 SFRH4 95.00/96.00 put spds, 54.5 ref 95.325
  • over 6,000 SFRJ3 94.56/94.68 put spds, ref 94.71
  • Block/screen, 15,000 SFRZ3 94.5/95.00 2x1 put spds, 1.5 ref 94.935
  • 5,000 OQM3 95.62/96.25 strangles, check price, ref 95.775
  • 4,750 SFRM3 94.37/94.62/95.06/95.12 broken put condors ref 94.70
  • 1,250 SFRH3 95.00/95.06/95.18/95.25 put condors ref 95.0225
  • 10,000 OQU3 94.00/94.50/95.00 put flys ref 96.075
  • Block, 3,000 OQH3 95.37/95.62/95.87 1x3x2 call flys, 1.5 vs. 95.355/0.05%
  • Block, 20,000 SFRU3 94.00 puts, 4.0 ref 94.71
  • Block, 10,000 SFRU3 94.25 puts, 8.0 ref 94.71 to .715
  • Block, 10,000 SFRU3 93.75 puts, 2.5 ref 94.71
  • Block, 12,000 OQM3 94.50/95.12/95.75 put flys, 14.0 ref 95.76 to -.77
  • over 6,000 SFRM3 94.50 puts, 6.0 ref 94.71
  • 3,000 SFRJ3 94.37/94.62/94.87/94.93 put condors ref 94.70
• Treasury Options:
  • 5,900 TYJ3 108.5/110.5 put spds, 24 ref 112-03.5
  • 5,000 FVJ3 108 calls, 31.5 ref 107-17.75
  • 5,000 TYH3 111.75/112.5 call spds 13 ref 111-15.5
  • Over 4,200 TYH3 113 calls, 2
  • 5,000 TYH3 110.5/111 put spds, 11 ref 111-13.5
  • over 7,000 TYH3 110.5 puts 8-10 ref 111-11.5 to -11
  • 1,000 TYH3 109.5/110/110.5/111 put condors ref 111-17
  • 5,100 wk2 TY 109 puts, 6 ref 112-01.5
  • 2,700 TYH3 puts, 4 ref 111-17
  • over 6,000 TYJ3 110 puts 20-25 ref 112-03.5 to 111-24.5
  • 2,000 TYH3 111 puts, 13 ref 111-21