Late SOFR/Treasury Option Roundup

Amid ongoing rate hike hedging via low delta puts Thursday, volume in upside call structure buying surged as underlying futures rebounded from week lows ahead of Friday's employment data. Tsy 2s10s curve surged over 10.60bp steeper to -97.855 as bonds trim gains into the close, while 2s continue to rise: TUM3 at 101-21.5 (+11.12) at the moment, 2Y yield falls to 4.8784% low (compares to over 5.08% earlier in week)

• SOFR Options:
  • Block, 40,000 SFRJ3 94.31/94.18 put spds 0.0-0.25 over the SFRM3 94.56/94.62 put spd last few minutes, mostly .25 over ref 94.39
  • 16,000 SFRZ3 97.50/97.87 call spds ref 94.55-94.545
  • 5,000 SFRH4 93.75/94.87/96.00 iron flys ref 94.915
  • Block/screen, over 33,000 SFRH3 94.93/95.00 call spds, 1.25
  • Block, 8,500 2QM3 96.75/97.12/97.50 call flys, 5.0 ref 96.335
  • Block, 4,000 OQM3 93.00/94.00 put spds, 2.5 ref 95.29
  • Block, 11,000 SFRH3 94.87/95.00 put spds, 9.75
  • 5,000 SFRK3 94.112/94.31 3x2 put spds ref 94.37
  • Block, 15,000 3QJ3 96.00 puts, 4.5 ref 96.565
  • 5,000 SFRJ3 94.62/94.75 call spds ref 94.37
  • 5,000 SFRJ3 94.50/94.62 put spds ref 94.385
  • Block/screen 6,000 SFRH3 94.75 puts, 1.0 ref 94.835
  • Block, 5,000 SFRZ3 94.25/95.25 strangles 3.0 over SFRZ3 94.00/95.00 strangles
  • 25,000 SFRN3 93.87/94.68 strangles vs. SFRN3 94.12/94.87 strangles
  • Block, 13,500 SFRH3 94.87/95.00 put spds, 9.75 vs. 94.84/0.34%=
  • Block, 5,000 SFRH3 95.06 calls, cab ref 94.835
  • 5,000 SFRK3 94.12/94.31 3x2 put spds, ref 94.37
  • Block, 15,000 3QJ3 96.00 puts, 4.5 ref 96.565
• Treasury Options:
  • over 26,000 TYK3 114.5 calls, 17 ref 111-18
  • 2,600 TYJ3 110.75 puts at 41 vs. 3,900 FVJ3 106.25 puts 28.5
  • 7,500 USJ 121/123 put spds, 26 ref 125-17
  • over 15,000 TYJ3 107.5/109 put spds, ref 111-02.5
  • 2,400 FVJ3 104.75/105.75 put spds, ref 106-13.75
  • 3,000 TYM3 114/115/116 call flys ref 111-01
  • -15,000 TYJ3 107.5/109 put spds, 8 ref 111-04 to -03
  • 9,500 TYJ3 107.5/108.5/109.5 put flys, ref 110-24.5