Late SOFR/Treasury Option Roundup

Treasury options saw better upside call structure interest Thursday after PPI did not surprise to the upside following Wednesday's near in-line CPI. Inflation measures decelerating, spurring upside risk positioning as projected rate cuts in the fall to year end firmed (three consecutive 25bp hikes starting in September).

• Treasury Options:
  • Block, 11,000 TYM3 117/120 1x2 call spds vs. TYN3 119.5 calls, 14 net
  • 5,000 TYM3 116 puts, 34 ref 116-12.5
  • 10,000 FVM 111.75 calls, 15
  • Block, -25,000 FVM3 110/112.5 call spds vs. 110-25/0.18% vs. +25,000 FVN3, 7 net/June over
  • 2,000 TYN3 117 calls, 111
  • 10,000 TYU3 119.5/121.5 call spds ref 116-24
  • 2,000 TYN3 120/121 call spds, 6 ref 116-23.5
• SOFR Options:
  • Block, 4,000 SFRU3 94.62/94.87/95.00/95.25 put condors on a 4x3x3x2 ratio, 8.5 net ref 95.365
  • Block/screen -10,000 SFRH3 96.37 calls, 68.5 vs. 96.40/0.50%
  • Block, 5,000 SFRZ3 96.00/96.50/97.00 call flys, 4.0 net ref 95.845
  • over 6,000 SFRM3 94.87 puts, ref 94.97
  • 2,500 SFRM3 95.00/95.06 call spds, ref 94.97
  • Block, 3,750 SFRU3 94.25/94.50/94.62 broken put trees, 0.5 2-legs over ref 95.295
  • 2,000 SFRK3 5.31/95.43/95.56 call flys ref 94.95