Late SOFR/Treasury Option Roundup

Net option trade mixed Tuesday, large call and put structures reported as some accounts hedged continued rate hikes telegraphed by Chairman Powell at his semi-annual policy testimony to Congress, while others took the opportunity to buy upside call structures, cheaper premium for a reversal.

• SOFR Options:
  • Block, 20,000 SFRZ3 94.25/94.75/95.87 broken call flys, 0.0 ref 94.515 to -.515
  • Block, total 20,000 SFRZ3 94.00/94.37/94.87/95.12 put condors, 2.5 ref 94.51
  • Block/screen, -13,500 SFRH3 94.62/94.75/94.87 put flys, 2.75 vs. 94.8725/0.34%
  • Block, total +20,000 SFRU3 93.75/94.87/95.50 broken put flys, 2.0 net ref 94.40-.395
  • +30,000 SFRH3 95.00 calls, 0.75
  • Block/pit +55,000 SFRZ3 94.25/95.25 strangles 2.5 over SFRZ3 94.00/95.00
  • Block, +5,000 SFRM3/SFRU3 94.68/94.75 put spd strip, 8.0
  • Block, 10,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
  • over 5,200 OQH3 94.81/94.93 put spds, ref 95.01 to -.005
  • 4,000 OQN3 94.00 puts, 1.5 ref 95.81
  • over 9,000 SFRM3 94.43/94.68 strangles, 17.0 last ref 94.575
  • 2,000 SFRK3 94.81/94.93/95.06 put flys
• Treasury Options:
  • 3,700 FVJ 106.5/FVK 105.5/FVM 106.5 put calendar fly, 38.5
  • -8,000 TYJ3 108/109/110/111 put condor w/TYJ 108.25/109.25/110.25/111.25 put condor, collect 32 vs. 111-08
  • 4,000 FVJ3 107.5/108 call spds, ref 106-24.75