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Late SOFR/Treasury Option Roundup

US TSYS

Carry-over low delta put buying on net, discounting the modest bounce in underlying futures, looking to hedge dwindling rate cut pricing at least through 2023.

  • SOFR Options:
    • Block, 7,500 SFRZ3 94.25/95.25 strangles, 31.5 ref 94.75
    • Block, 5,000 OQJ3 95.25/95.37 put spds, 0.5 ref 95.475
    • Block/pit, +9,000 2QH3/2QJ3 96.25 put, 6.5 apr over
    • Block/pit, +20,000 SFRK3 94.37/94.50 put spds, 2.5 ref 94.645
    • Block, 3,000 SFRZ3 94.75/95.12/95.50 4x9x5 put flys
    • Block, 3,750 SFRU3 94.75/94.87/95.00 put flys on 4x9x5 ratio
    • 12,000 OQJ3 95.37/95.62 put strip vs. 6,000 95.75/96.00 put strip
    • Block, 15,000 OQM3 94.50/94.87/95.50 broken put flys, 17.5
    • Block, 6,000 2QH3 96.50 puts, 25.5 ref 96.28
    • over 3,900 SFRU3 95.00 calls, 8.5 ref 94.575
    • 5,000 SFRU3 94.50/94.75/94.87/95.00 broken put condors ref 94.605
    • Block, 10,000 OQM3 94.75/95.00/95.25 put flys, 3.0 vs. 95.43/0.10%
    • Block, 10,000 OQU3 93.50/94.00/94.50 put flys, 2.5 vs. 95.775/0.05%
  • Treasury Options:
    • +15,000 TYJ3/wk1 TY 112.5 call spds, 24 vs. 111-10
    • -8,000 FVJ3 105.75/108.25 put over risk reversals, 8.5 vs. 106-24
    • over 3,800 FVJ 106 puts, 20.5
    • 7,700 TYJ3 111.5/112.75 call spds vs. 110.25 puts, 1
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