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Late SOFR/Treasury Option Roundup

US TSYS
Derivatives trade remained mixed Monday as underlying SOFR and Treasury futures climbed back near Early Friday highs after Dallas Fed Manufacturing Index came out lower than expected: -23.4; EST. -12.0. SOFR structures leaned toward upside calls in the second half with paper adding to some 50,000 Dec'23 SOFR call condors bought last week. Treasury options saw a handful of mixed 5- and 10Y structures in the first half while a large July 10Y strangle was sold vs. June strangles. Salient trade:
  • SOFR Options:
    • Update, over 17,500 (Block/screen/Pit) SFRZ3 96.00/96.50/97.00/97.50 call condors, 5.5 adds to +50k bought last week
    • +10,000 SFRZ3 95.50/96.00/96.50 call flys, 4.5
    • Update, 8,000 SFRU3 94.62/94.75/95.37/95.50 iron condors ref 95.14
    • 1,800 SFRN3 94.87/95.00/95.12 put flys ref 95.145
    • 1,000 SFRM3 94.43/94.68/95.25/95.50 call condors
    • over +11,600 SFRM3 94.75 puts, 6.5 ref 94.91 to -.905
    • Block, 5,000 SFRZ3 96.00/96.50/97.00/97.50 call condors, 5.5 ref 95.51
  • Treasury Options:
    • Block, -20,000 TYN3 112.5/119 strangles, 5 over TYM3 113/117 strangles
    • 5,000 FVM3 108.5/109 put spds, 14 ref 109-17
    • 3,000 TYM3 116/117 call spds, 19 ref 114-28.5
    • 4,300 FVM3 111.25/112.25 call spds ref 109-14
    • 4,000 TYM3 117.5/119.5 call spds ref 114-24.5
    • 4,000 Wed/wkly 114.75 straddles 3 over TYM3 111/117.5 strangles
    • 40,000 wk4 10Y 113.25/114.25 put spds, 10 ref 114-23.5
    • 10,500 wk4 10Y 113.5 puts, 4 ref 114-22
    • 9,000 TYM3 113.5 puts vs. 115/116.5 call spd 0.0 net ref 114-22
    • over 18,200 FVM3 111 calls, 17 ref 109-11.25
    • 8,600 FVM3 108 puts, 15.5-16 ref 109-08.75 to -09.5
    • 2,000 TYM3 117 calls, 17 ref 114-16.5
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