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Late SOFR/Treasury Option Roundup

US TSYS

Mixed trade going reported Thursday on muted volumes going into month end. Little new risk added, underlying futures traded mildly weaker in near expirations through year end as implied rate cuts gradually unwind.

  • SOFR Options:
    • Block, 5,000 SFRU3 94.25/94.37 put spds, 0.75 ref 95.41
    • Block, 15,000 OQM3 94.75/95.12/95.75 broken put flys, 8.5
    • Block, 5,000 SFRJ3 95.25/95.43/95.50 broken call flys on 1x ratio vs. 95.16/0.10%
    • 9,500 SFRM3 94.81/94.93/95.06/95.18 call condors, ref 95.165
    • Block, 2,500 SFRK3 95.06/95.18 call spds, 5.0 vs 95.18/0.11%
    • 1,800 SFRK 94.75/95.00 put spds, 6.0 ref 95.175
    • Block, 5,000 SFRH4 97.50/98.50/99.00 broken call flys 1.0 over 95.25/95.50 put spds ref 96.06
    • Block, 15,000 OQM3 95.62/96.00 3x2 put spds, 12.0 ref 96.40
  • Treasury Options:
    • over 5,700 TYM3 115/117/119 call flys, 16 ref 114-16
    • 3,000 TYM3 112/114 put spds, 49 ref 114-13
    • 1,400 TYK3 116 calls, 36 ref 114-15.5
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