Late SOFR/Treasury Option Roundup

Better downside put structure trade carried over from overnight through much of Tuesday. Hedging or speculating on policy risk on whether an anticipated 25bp hike from the FOMC on May 3 will be the last. SOFR focus on Jun'23 and Jul'23 put condors. Jun'23 options expire on Jun 16, two days after the June FOMC (Jul options on July 14, well before the July 26 FOMC). Volumes receded in the second half with some notable call trades and strangle sales below:

• SOFR Options:
  • +10,000 SFRU3 99.75 calls, .75 vs. 95.13/0.05%
  • +2,000 SFRM3 94.745/94.87/94.93/95.00 put condors 0.0-0.25
  • -15,000 SFRK3 95.37/95.75/95.87 broken call trees on 2x1x1 ratio, 2.75
  • +5,000 SFRM3 94.25/94.50 put spds, 0.5
  • 9,000 SFRM3 94.56 puts, 1.0
  • Block, 3,000 SFRN3 94.62/94.87/95.75 broken call flys on 1x ratio, 30.5 net ref 95.185
  • 2,000 SFRU3 94.50 puts, 6.5 ref 95.17
  • 3,000 SFRM3 95.00/95.12/95.31/95.43 call condors ref 94.925
  • 1,250 SFRM3 94.18/94.93/95.00/95.12 put condors ref 94.925
  • 4,500 SFRN3 94.75/95.00/95.25/95.50 put condors ref 95.175
  • 3,000 SFRN3 94.50/94.93/95.00/95.18 broken put condors ref 95.155
  • 2,500 SFRU3 96.00/96.37 call spds ref 95.16
• Treasury Options:
  • -5,000 TYM3 113.5/117.5 strangles, 58 vs 114-12/0.45%
  • 2,400 TYM3 115.5/116.5/117.5 call flys, 1 ref 114-13
  • -4,000 TYM 112.5/113.5 strangles 160-159
  • 2,000 TYK3 113.5/114/114.5 put flys, 7 ref 114-13
  • 2,500 FVM3 112.5/113.5 call spds ref 109-05.25
  • 1,500 wk4 10Y 111.5/113 put spds ref 114-10.5
  • 3,000 wk4 10Y 112/113.5 put spds ref 114-10.5
  • 3,000 TYM3 113 puts, 37 ref 114-09