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Late SOFR. Treasury Option Roundup

US TSYS

Carry-over downside put spreads, flys reported in SOFR options Monday, generally light volumes with a couple exceptions as underlying futures reversed early weakness. Treasury options seeing slightly better call trade in 5s and 30s as Tsy futures gapped off lows after lower than expected ISMs.

  • SOFR Options:
  • 6,900 SFRJ3 95.31/95.43 call spds vs. SFRK3 95.50/95.75 call spds
  • 2,500 SFRZ3 94.50/95.00/95.50 put flys
  • Block, 5,000 SFRJ3 95.12/95.25/95.37 call flys, 0.5 ref 95.06
  • Block/pit, +45,000 SFRK3 94.56/95.06 put spds, 15.0-16.0 ref 95.075 to -06
  • Block, 20,000 SFRJ3 95.06/95.12 call spds, 2.25 vs. 95.085/0.10%
  • Block, 13,750 SFRK3 95.00/95.50 2x1 put spds
  • -40,000 SFRM3 95.75 calls, 9.5-9.0 vs 95.09/0.20%
  • over 6,800 SFRM3 95.75 calls ref 95.095
  • 9,500 SFRM3 94.31/94.56 put spds ref 95.10
  • 3,900 SFRM3 94.37/94.68/94.87 put flys, ref 95.09
  • 3,000 OQJ3 95.87/96.00/96.25 broken put flys, ref 96.385 to -.37
  • Block, 12,400 SFRM3 94.43/94.56 put spds, .75 ref 95.07 to -.06
  • Treasury Options:
  • over 6,000 TYK3 117/119 call spds, 20
  • -7,500 TYM3 120/125/130 call flys, 9 ref 114-26
  • 1,000 FVK3 112/114/115 call flys vs. FVM 112/113/113.5 call flys
  • over 5,200 FVM3 110.75 calls, 36-37 ref 109-10 to -10.25
  • 2,000 TYK3 110.5/111/112 broken put flys ref 114-24
  • 2,000 USK3 138/140 call spds, 6 ref 130-27
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