Late SOFR/Treasury Option Roundup

Consistently better put structure trade Wednesday as underlying futures sold off as implied rate hikes rise (terminal at 5.455% in Oct'23 vs. 5.50% earlier high).

• SOFR Options:
  • Block, 5,000 SFRU3 94.25/94.50 2x1 put spds, 0.0 ref 94.535
  • Block, 20,000 SFRU3 93.87/94.68 put spds, 28.5 ref 94.555
  • Block, 7,000 SFRZ3 93.75/94.25/95.00 broken put flys, 18.0 ref 94.685
  • Block, total 15,000 SFRZ3 95.00/95.25 put spds, 17.5
  • Block, 15,000 OQM3 94.50/94.87/95.50 broken put flys, 18.5 ref 95.37
  • Block, 10,000 SFRZ3 94.50/95.50 strangles, 37.0 ref 94.67
  • Block, 15,000 SFRZ3 94.25/95.25 strangles, 32.0-33.5 ref 94.67
  • Block, +10,000 SFRZ3 94.00/94.50 put spds, 15.5 ref 94.73
  • Block, +10,000 SFRU3 94.00/94.50 put spds, 15.5 ref 94.575
  • Block, -12,000 2QH3 96.25 puts, 8.5 ref 96.31
• Treasury Options:
  • 3,500 TYJ3 110.75/111 put spds, 7 ref 111-01
  • over 5,600 FVJ 107 calls, 30 ref 106-20.5
  • 2,000 FVJ3 108.25/108.75/109.25 call flys ref 106-28.25
  • 6,000 TYK3 114 calls, 22 ref 111-11
  • 2,500 FVJ3 104.5/105.5 put spds, 8 ref 106-29
  • Block, 9,000 TYJ3 109 puts, 12 vs. 111-15/0.15%
  • 1,500 USK3 114/118 put spds, 22 ref 124-23