Late SOFR/Treasury Option Roundup

Modest early put trade coming into the session gave way to better upside call structure and vol buying as underlying futures gapped higher after Philly Fed manufacturing index reported much weaker than expected (-31.3 vs. -19.3 est), projected rate cuts for year end firming again.

• SOFR Options:
  • +10,000 SFRQ3 95.25/95.50/95.75 call flys, 4.0
  • Block, 5,000 SFRM3 94.81/94.93/95.06 3x5x2 ratio put flys, 0.5 net/wings over ref 94.90
  • Block, +10,000 SFRM3 94.43/94.56/94.68/94.75 broken put condors, 1.5 vs. 94.92/0.03%
  • total +16,500 (10K Blocked) SFRM3 94.87 straddles 3.5 over SFRN3 95.25 calls vs. 95.11/0.42%
  • +10,000 SFRH4 97.50/98.00 call spds vs. 95.96/0.05% w/
  • +10,000 OQU3 97.50/98.00 call spd vs. 96.67, paying 15.25 to buy both
  • 5,000 SFRU4 1Y strip 94.25/94.50 put spd
  • Block, +12,000 SFRM3 94.68/94.75 put spds, 2.5 vs.
  • Block, -6,000 SFRM3 94.43/94.56 put spds 1.0 vs. 94.905/0.10%
  • Block, 5,000 SFRM3 94.68/94.81/95.00 2x3x1 put flys, 2.0 net ref 94.885
  • 21,000 SFRM3 94.93/95.00/95.06/95.12 put condors ref 94.89
  • 2,000 SFRZ3 94.87/95.12/95.37 put flys ref 95.475
  • 2,500 SFRU3 94.75/94.87/95.00/95.12 iron condors ref 95.12
  • 3,500 SFRM3 94.50/94.68/94.75 put trees ref 94.89
• Treasury Options:
  • +5,000 TYK3 113.5/114 put spds, 3
  • 3,400 TYK3 114 puts, 4 ref 114-20
  • over 3,000 FVK3 109.5 calls, 6 ref 109-07.25
  • 7,500 FVK3 109.5/110 call spds ref 109-04.75
  • 2,500 FVM3 112.5 calls, 5.5 ref 109-03.25