Late SOFR/Treasury Option Roundup

Mixed session trade continued to lean towards low delta put structures in SOFR options, early 5- and 10Y Treasury call trade also leaned toward puts in the second half as underlying futures held near midday lows.

• SOFR Options:
  • Block, 6,000 SFRZ3 97.00/97.50 call spds 6.0 vs. 95.61/0.06%
  • Block, 5,000 SFRZ3 94.87 puts 2.5 over SFRZ3 96.00/96.50 call spds
  • +7,000 SFRZ3 96.00/97.00/98.00 call flys, 9.0 ref 95.595
  • Block, 5,000 SFRM3 95.00/95.25 call spds, 1.25 ref 94.8975
  • 3,000 SFRM3 94.56/94.68/94.81 put flys ref 94.91
  • 5,700 SFRM3 96.12 calls 1.75 ref 94.9125
  • 13,500 SFRM3 94.62/94.68/94.75/94.81 put condors ref 94.9125 to -.915
  • 4,500 SFRZ3 96.00/OQZ3 97.50 call spds, 1.0
  • Block/screen, 5,000 SFRN3 95.81/95.31/95.43/95.56 call condors, 1.5 ref 95.225
  • Block/screen, over 13,500 OQM3 96.37 puts, 12.0 vs. 96.66/0.30%
  • Block, 2,500 SFRZ3 94.81/94.93/95.06 put flys, 2.0 ref 95.70
  • 5,800 OQM3 96.37 puts ref 96.69 to -.695
• Treasury Options:
  • Block, +15,000 TYM3 113.5/114 put strip 20 vs. 114-26
  • +17,500 TYM3 114 puts, 15
  • +12,000 TYN 114/120 strangles, 46
  • Block, 10,000 TUN3 103.75 puts, 28.5 vs. 103-23/0.51%
  • 3,000 FVM3 109.75/110 put spds, 9 ref 109-26.75
  • +7,500 TYM 117 calls, 5
  • 4,500 FVN3 109.75 puts, 26.5 ref 110-24
  • 3,000 TYM3 117 calls, 8 ref 115-13.5
  • over 10,500 TYN3 118 calls, 38 ref 116-10.5 to -11
  • over 6,700 FVM3 109.75 puts, 22 ref 109-27.75
  • over 7,600 TYN3 117.5 calls, 44-45 ref 116-09