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Late SOFR/Treasury Option Roundup

US TSYS

Better call structure trade on net, carried over from overnight, overall volume modest as the session ground on. Underlying futures holding near post-JOLTS data highs, many option desks plying the sidelines ahead of Wednesday's ADP private employment data release, March NFP on Friday's shortened session.

  • SOFR Options:
    • Block, 5,000 SFRJ3 95.50/95.75 call spds, 2.25 vs. 95.20/0.10%
    • Block, 5,000 SFRK3 94.81/94.93/95.06 put flys, 2.5
    • +10,000 SFRM3 94.75/95.50 1x3 call spds, 3.0-4.5
    • 1,500 SFRJ3 95.06/95.43/95.81 put flys ref 95.05
    • 1,750 OQJ3 96.18/96.37 2x1 put spds, ref 96.505
    • over 6,000 SFRJ3 95.25 calls, 3.75 ref 95.045
    • 3,000 SFRZ3 96.00/96.50/97.00/97.50 call condors, ref 95.69
    • 1,000 OQZ3 95.50/95.75/96.25/96.50 put condors, ref 97.02
    • Block, 4,000 SFRH4 97.50/98.50 call spds, 11.0 ref 96.175
    • Block, 4,000 OQU3 97.50/98.50 call spds, 8.5 ref 96.865
  • Treasury Options:
    • 2,250 TYM3 116.5/118.5/120.5 call flys, 18 ref 116-07
    • 7,500 TYM3 113 puts, 24 ref 116-03.5
    • over +20,000 FVK3 109.25/109.75 put spds, 11.5
    • over 10,000 FVK3 112 calls
    • 1,850 TYK3 121 calls
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