Late SOFR/Treasury Option Roundup

Despite the short end outperforming on Monday's curve steepening sell-off, FI option trade leaned toward batter downside put and put structure buying. In other words, trading with underlying futures as projected rate hikes for the later half of the year receded from last week's post-PPI highs.

• SOFR Options:
  • +15,000 SFRM3 94.87/94.93/95.00 put flys, 2.75 ref 94.9225
  • +5,000 SFRM3 94.56/94.68/94.81 put flys, 1.75 vs. 94.92
  • +7,500 SFRM3 94.93/95.00/95.06 put flys, 0.75
  • Block, 5,750 SFRM3 94.81/94.87/94.93 put flys, 1.25 ref 94.93
  • Block, 4,500 SFRM3 94.56/94.75/94.81/94.87 put condors, 0.12 ref 94.9225
  • 5,000 SFRN3 95.12/95.25 put spds vs. 95.50/95.56 call spds
  • 3,000 SFRM3 95.06/95.18 call spds ref 94.9225
  • 2,000 SFRM3 94.93/95.06/95.18 call flys ref 94.9225
  • 1,000 SFRM3 94.50/94.75 call spds vs. 94.12/94.37/94.93 put flys
  • 2,800 SFRU3 95.81/96.18 call spds ref 95.225
  • 3,000 SFRU3 94.81 puts ref 95.225
  • 4,000 OQM3 96.12 puts ref 96.66
• Treasury Options:
  • 4,800 FVM3 109 puts, 5 ref 109-31.75
  • 2,000 TYN3 113/115.5 2x1 put spds over TYN3 119 calls ref 116-02
  • 3,000 TUU3 99.50/100 put spds ref 103-27.25
  • 3,100 FVN3 111 calls ref 110-20
  • over 22,300 FVM 111.25 calls, 7-7.5 last ref 109-31 to 110-02.25
  • 6,000 FVQ3 112.5/114 call spds ref 110-19
  • 1,800 TYM/TYN 115.5 put calendar spds 11
  • 3,000 TYM3 114.5 puts, 16 ref 115-11.5
  • 3,800 FVN3 112.25 calls, 24.5 ref 110-21 to -20
  • 5,000 FVN3 109.5 puts, 25 ref 110-21 to -20