Late SOFR/Treasury Option Roundup

Better put volumes on net after SOFR saw period of upside call buying post-Bullard as underlying rallied. Put buyers returned post FOMC minutes release as underlying receded, short end under pressure.

• SOFR Options:
  • Block, 25,750 OQZ3 95.37/96.00 2x1 put spds, 4.0 ref 96.35
  • -25,000 SFRM3 95.12 calls, 1.5
  • Block, 25,000 OQM3 97.37/97.62 put spds, 0.5 ref 95.79
  • 1,800 SFRJ3 94.62/94.75 1x2 call spds, 0.0 ref 94.67
  • Block, 6,000 2QH3 96.50 puts, 17.5 ref 96.43
  • 2,000 SFRU3 94.68/94.81/94.93 call flys ref 94.675
  • Block, 3,000 SFRZ3 96.25/97.00/97.50 call flys, 3.0 vs. 94.97/0.05%
  • Block, 5,000 SFRM3 94.87/95.50 call spds, 5.25 ref 94.685
  • 1,000 SFRM3 94.68/94.81/94.93/95.06 put condors ref 94.68
  • 10,000 OQM3 94.50 puts, 3.0 ref 95.78 to -.79
  • 2,000 SFRZ3 95.12/95.25/95.50 put flys ref 94.89
  • Block/screen, 5,000 SFRZ3 94.00/94.25/94.50 put flys, 3.0 ref 94.88
  • 4,600 SFRZ3 94.00/94.25/94.50 put flys ref 94.88
  • Block, 2,500 SFRM3 94.68/94.81/94.93/95.06 put condors, 2.75 ref 94.68
  • 3,000 OQJ3 95.50 puts, 13.5 ref 95.765
  • 2,000 OQM3 94.50 puts, 3.0 ref 95.79
  • 1,000 SFRH4 94.62/94.87 put spds vs. 3QZ3 96.12/96.37 put spds
• Treasury Options:
  • -10,000 FVH3 107.25 calls, 4.5 ref 106-29 total volume >34k
  • 5,000 TUH3 102 puts vs. TUJ 101/102 put spds
  • over 6,500 TYJ3 115 calls, 8 ref 111-26.5
  • 2,500 USJ3 112 puts, 44 ref 125-31
  • -15,000 FVJ3 107/107.25 call spds, 6.5
  • 15,000 FVH3 107 calls, 9.5-10.5 ref 106-25.75 to -26.5
  • 2,000 TYJ3 110 puts, 29 ref 111-19.5