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Late SOFR/Treasury Option Roundup

US TSYS

Friday's "hot" PCE data spurred continued interest in rate hike put insurance, particularly in SOFR options, salient trade includes:

    • SOFR Options:
    • total +60,000 2QZ3 97.75/98.75 call spds, 7.0-7.5
    • Block, 15,000 SFRZ3 94.12/94.37/94.62 put trees, 0.5 net 2-legs over
    • Block, 52,000 OQM3 94.50/94.75 put spds, 3.75
    • Block, 45,000 SFRZ3 94.25/94.75/95.87 broken call flys, 0.0
    • Block, 20,000 SFRZ3 94.25/94.75/95.87
    • Block, 25,000 SFRU 94.00/94.50 put spds, 14.5 vs. 94.575/0.30%
    • Block, 30,000 SFRM3 94.50 puts, 5.5 vs. 94.64/0.30%
    • Block, 3,000 OQM3 95.50/95.75/96.37 3x7x4 broken put flys, -137.0
    • Block, 5,000 OQM3 95.75/2QM3 96.62 put spds, 0.5 net
    • Block, 2,500 OQU3 95.25/95.75 put spds, 15.0 ref 96.055
    • Block, 5,000 SFRH4 95.00/95.75/96.50 call flys, 15.0 ref 95.21
  • Treasury Options:
    • 6,000 TUH3 102.62 puts ref 101-18.75
    • 5,000 FVH3 108.75 puts, ref 106-11.75
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