Late SOFR/Treasury Option Roundup

Modest overall volumes despite the late session volatility. Accounts still trying to regroup following Wednesday's 25bp rate hike and dovish statement tempering forward guidance ("Some" firming "May" be appropriate), see underlying futures exploded late Thursday as Treasury Secretary Yellen testimony to the Senate shakes things up again. Overnight flow leaned toward better call interest with a couple decent put structures in SOFR options. Call trade turned two-way in the second half. Salient trade includes:

• SOFR Options:
  • Block, -23,750 SFRM3 95.18/95.43/95.68 call flys, 2.5 ref 95.305
  • Block, total 10,000 OQM3 96.75/97.75 call spds, 25.25 net on splits ref 96.59 to -.595
  • Block, 6,500 SFRJ3/SFRK3 95.06/95.18/95.37/95.50 call condor strip, 8.0
  • 2,000 SFRJ3 94.68/94.75/94.81/94.87 put condor vs. SFRM3 95.00 puts
  • 9,000 SFRJ3 95.00/95.18/95.31/95.43 put condors ref 95.28
  • 5,000 SFRK3 95.06/95.18 call spds ref 95.31
  • 2,500 SFRJ3 95.18/95.43/95.68 call flys ref 95.31
  • 3,000 SFRM3 95.18 calls ref 95.28
  • Block, total 17,102 SFRM3 94.43 puts, 1.5-1.0 vs. 95.32/0.07%
• Treasury Options:
  • 2,600 TYM3 116/121 1x2 call spds, 60 ref 115-24.5
  • 1,250 USK3 135/140 call spds, 42 ref 131-12
  • 3,000 FVK 111/112/112.5 broken call flys ref 110-07.5
  • 7,500 FVK3 112/114 call spds, 15 ref 110-04.25
  • 4,600 TYK3 116.5 calls, 51 ref 115-12
  • 2,500 FVK3 112/113.5 call spds ref 109-27.5