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Late SOFR/Treasury Option Roundup

US TSYS

Focus on downside puts Tuesday, though total volumes were rather muted ahead Wednesday's FOMC policy announcement.

  • SOFR Options:
    • Block, 5,000 SFRZ3 96.50/97.75 1x2 call spds, 5.0 ref 95.66
    • -20,000 SFRJ3 96.00 calls, 6.5
    • Block, 20,000 SFRU3 94.25/94.75/95.25 put trees, 16.0 net ref 95.39
    • over +14,700 OQJ3 96.00 puts, 14.0 ref 96.39
    • +3,000 SFRZ3 94.62 puts, 21.0 vs. 96.766/0.22%
    • -10,000 SFRM3 94.25/94.50/94.75 put flys, 3.5-3.25
    • +20,000 SFRZ3 94.50/94.75/95.00/95.25 put condors, 4.5 ref 96.765
    • 6,000 SFRZ3 93.25/93.50/93.75/94.00 put condors, ref 95.775
    • 4,750 OQM3 95.87/96.00 strangles, ref 96.375
    • 5,000 SFRM3 96.25 calls, ref 95.295
    • over 8,800 OQJ3 96.00/2QJ3 96.50 put spds around even
    • Block, 3,500 SFRM3 94.68/94.75 put spds, 1.5 ref 95.45
  • Treasury Options:
    • 14,000 FVK3 108.75/109.25 strangle ref 108-30
    • 2,100 FVK3 107.5 puts, ref 109-10.25
    • 1,000 TYK3 112/118 call over risk reversal, 1 net ref 114-19
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