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Late SOFR/Treasury Option Roundup

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Mixed trade continued Thursday, better put focus in general on modest volumes, speculative focus on the next FOMC rate announcement on May 3 leaning toward another 25bp hike, particularly after underlying futures pared post-data gains. Salient trade includes:

  • SOFR Options:
    • Block, 5,000 SFRZ3 94.87/95.12/95.87/96.12 iron condors, 15.0 ref 95.775
    • over 3,000 SFRM3 94.81/94.93/95.06 put flys, 3.5 ref 95.08
    • +10,000 SFRM3 95.06/95.18 call spds, 3.5
    • Block, 5,000 SFRU3 94.37/94.50 put spds, 1.0 ref 95.415
    • over 15,000 SFRJ3 95.00 straddles
    • -10,000 SFRJ3 94.87/94.93/95.06/95.12 put condors, 4.25
    • +5,000 SFRM3 95.06/95.18 call spds, 3.25
    • 1,500 SFRK3 94.87/94.93/95.00 put flys, ref 95.045
    • 5,000 SFRU3 94.68/94.93/95.37/95.62 iron condors
    • 6,000 SFRN3 95.50 calls, ref 95.355
    • 2,400 OQM3 95.62/96.25/96.75 broken put flys ref 96.575
    • 2,000 SFRM3 95.12/95.25/95.37/95.50 put condors ref 95.06
    • 2,000 OQK3 95.00/95.50/96.00 put flys, ref 96.585
  • Treasury Options:
    • over 6,900 FVK3 111 calls, 8
    • 3,000 TYK3 112/119 combo
    • over 3,300 TYK3 115 puts, 14 last
    • 1,700 TYM 114/114.5 put spds
    • 2,500 TUM3 102.75 puts, 12 ref 103-13.88
    • 2,500 wk2 TY 115 puts, 3 ref 115-25.5
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Mixed trade continued Thursday, better put focus in general on modest volumes, speculative focus on the next FOMC rate announcement on May 3 leaning toward another 25bp hike, particularly after underlying futures pared post-data gains. Salient trade includes:

  • SOFR Options:
    • Block, 5,000 SFRZ3 94.87/95.12/95.87/96.12 iron condors, 15.0 ref 95.775
    • over 3,000 SFRM3 94.81/94.93/95.06 put flys, 3.5 ref 95.08
    • +10,000 SFRM3 95.06/95.18 call spds, 3.5
    • Block, 5,000 SFRU3 94.37/94.50 put spds, 1.0 ref 95.415
    • over 15,000 SFRJ3 95.00 straddles
    • -10,000 SFRJ3 94.87/94.93/95.06/95.12 put condors, 4.25
    • +5,000 SFRM3 95.06/95.18 call spds, 3.25
    • 1,500 SFRK3 94.87/94.93/95.00 put flys, ref 95.045
    • 5,000 SFRU3 94.68/94.93/95.37/95.62 iron condors
    • 6,000 SFRN3 95.50 calls, ref 95.355
    • 2,400 OQM3 95.62/96.25/96.75 broken put flys ref 96.575
    • 2,000 SFRM3 95.12/95.25/95.37/95.50 put condors ref 95.06
    • 2,000 OQK3 95.00/95.50/96.00 put flys, ref 96.585
  • Treasury Options:
    • over 6,900 FVK3 111 calls, 8
    • 3,000 TYK3 112/119 combo
    • over 3,300 TYK3 115 puts, 14 last
    • 1,700 TYM 114/114.5 put spds
    • 2,500 TUM3 102.75 puts, 12 ref 103-13.88
    • 2,500 wk2 TY 115 puts, 3 ref 115-25.5