Late SOFR/Treasury Option Roundup

Surge in low delta Treasury put options as FI markets return from extended holiday weekend Tuesday. Despite a rise in implied rate hike probability and terminal rate to 5.36%, SOFR options were little more mixed with a couple notable trades: over 35,000 short Jun'23 SOFR 95.75 straddles at 69.5 and buyer of over 11,000 Jul'23 SOFR95.37 calls. Additional salient trade includes:

• SOFR Options:
  • Block, 11,750 SFRN3 95.37 calls, 4.0 vs. 95.655/0.12%
  • Block, 6,000 OQH3 95.50/95.75 put spds, 21 ref 95.28
  • Block, 5,000 SFRZ3 94.25 puts, 14.5 ref 94.91
  • Block, 6,000 2QH3 96.50 puts, 16.5 ref 96.445
  • Block, -35,000 OQM3 95.75 straddles, 69.5 ref 95.785 to .755
  • 4,000 SFRU3 94.25/94.37 put spds, ref 94.71
  • 2,100 SFRU3 94.68/94.87/94.93/95.12 call condors ref 94.71
  • Block, 10,000 SFRU3 93.75/94.00/94.25 put flys, 3.0
  • 7,000 SFRZ3 93.75/94.00/94.25 put flys ref 94.935
  • +2,500 OQZ3 96.37 straddles, 100-101.0
  • Block, 5,000 SFRJ3 94.56/94.68 call spds 1.25 over SFRJ3 puts ref 94.70
• Treasury Options:
  • 4,300 TYK 115/115.5 call spds, 1
  • -5,000 TYH3 110.5 puts, 7 ref 111-06, total over 14.2k
  • over 55,000 TYM3 107/108 put spds, ref 111-28.5
  • Block, +10,000 TYJ3 107/108 put spds, 3 vs. 111-26/0.04%
  • Block, 5,000 TYH3 111/111.25 put spds, 4
  • 9,000 TYH3 112 puts, 39 ref 111-17
  • 7,500 FVJ3 106.5/107.5 put spds ref 107-17
  • 2,000 TYJ3 107/108/110 broken put flys, ref 112-08.5
  • over 10,000 TYH3 110.25 puts, 2 ref 111-20.5
  • 5,000 TYJ3 115/117 1x2 call spds ref 112-05 to -05.5
  • over 4,000 USH3 122.5 puts, 3
  • over 12,000 FVJ3 106.5 puts, 17.5-18 ref 107-20.5
  • over 6,000 TYJ3 109.5 puts, 12-13 ref 112-07
  • over 15,000 TYJ3 110 puts, 16 ref 112-09
  • over 29,000 TYH3 111 puts, 6-9 ref 111-25.5