Late SOFR/Treasury Option Roundup

Early two way flow segued to better low delta SOFR puts, put spreads on net as underlying futures hold weaker levels as projected rate hike (s) over the next three FOMC meetings gains momentum (year-end rate cuts recede). Late Jun'23 10Y strangle selling weighed on implieds.

• SOFR Options:
  • +25,000 SFRN3 94.25/94.50 put spds, 2.0 pit/screen
  • +2,000 SFRZ3 97.00/98.50 1x2 call spds, 7.5
  • +1,500 SFRZ3 94.50/94.75/95.00/95.25 put condors, 7.0 ref 95.42
  • 3,000 SFRZ3 94.93/95.12/95.18/95.43 call condors ref 95.105
  • Block, 7,000 SFRN3 94.25/94.50 put spds, 2.0 ref 95.105
  • Block, 3,000 SFRU3 94.68/94.93/95.12 broken put trees, 0.0 net ref 95.08
  • over 5,000 SFRZ3 94.75/94.81 put spds, 2.5 ref 94.88
  • 2,000 SFRM3 94.81/94.94/95.06 put flys ref 94.89
  • Block, 10,000 SFRZ3 96.5/97.5 call spds, 11.5 ref 95.395
  • 1,750 SFRU3 96.50/97.00 call spds vs. SFRM4 98.50/99.00 call spds, 1.0 db/Jun over
  • 4,000 SFRU3 94.75/95.00 call spds, ref 95.08
  • 5,000 SFRM3 94.75/95.00 put spds, ref 94.885
  • 4,000 SFRM3 94.5/94.81 put spds, ref 94.885
• Treasury Options:
  • -4,400 TYM3 112/116 strangles, 50 ref 114-04
  • 2,200 FVK3 107.25/110.5 strangles
  • over 6,800 TYM3 117 calls, 18 last ref 114-06.5
  • over 8,500 TYM3 115 calls, 45 last ref 114-02.5
  • 2,500 TUM3 104.75 calls, 3 ref 102-26.5
  • over 7,000 TYM3 115 puts, 138 last ref 114-04
  • 5,000 FVKs 108.5/108.75 put spds ref 108-27.5
  • over 25,000 FVM3 110/111 call spds, 11.5 ref 108-28.25
  • 2,000 FVK3 106.75/107/107.75 put trees ref 108-28.5
  • 2,000 TYN3 115 calls, 44 ref 114-03.5