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Late SOFR/Treasury Option Roundup

US TSYS

Early two way trade with slightly better upside call structure buying faded ahead midday, overall volumes remained light. Low delta put buying picked up in the second half as underlying rates sold off on improved risk appetite as large banks looked at options to aid ailing First Republic Bank (FRC).

  • SOFR Options:
    • Block, 6,000 SFRH4 97.00/98.00 call spds, 20.0 ref 96.10
    • over 12,500 SFRM3 97.00/97.50/97.75 put trees on a 4x3x3 ratio trade on the day
    • Block, 5,000 SFRU3 96.00 straddles vs. SFRZ3 96.12 straddles, 9.0 net/Dec over
    • -25,000 SFRZ3 98.00/98.50 call spds, 7.0
    • 3,800 SFRU3 94.00/94.50/95.00 put flys, ref 95.985
    • 13,500 OQU3 97.87/SFRU4 97.50 call spd ref 96.68
    • Block, 3,500 OQK3 97.00/3QK3 97.50 call spd, 17.0
    • Block, 5,000 OQJ3 96.00/2QJ3 96.87 call spd, 40.0 net conditional curve
    • Block, 3,750 OQM3 97.00/97.62 call spds, 15.5 vs. 96.465/0.15%
    • 7,500 SFRK3 94.75/94.62 put spds vs. 95.75/95.87 call spds
    • 7,500 SFRM3 94.75/94.62 put spds vs. 95.75/95.87 call spds
    • 10,000 SFRZ3 94.50/95.50 put spds, ref 96.05 to -.045
    • 2.000 SFRK3 94.75/95.00/95.25 put flys, ref 95.58
    • over 13,700 OQM3 95.75 puts ref 96.53 to -.445
    • Block, 2,500 SFRJ3 95.43 calls, 54.0 vs. 95.55/0.55%
    • Blocks, 25,250 SFRK3 94.00 puts, 3.5-1.5
    • Block/screen, 4,000 SFRM3 94.75/95.25/95.75 call flys, 8.5
  • Treasury Options:
    • 2,000 TYM3 112/120strangles, 133
    • over 6,700 FVM3 109 puts around 57-100 ref 110-03.5 to -02.25
    • 1,600 TYJ3 116.5/120 call spds, 27 ref 115-01
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