Late SOFR/Treasury Option Roundup

Low delta put and put structures dominated Wednesday's FI option trade, particularly in SOFR options as underlying futures traded weaker as projected rate cuts inch off week lows.

• SOFR Options:
  • 10,000 SFRM 94.68/94.75/94.81/94.87 put condors
  • Block, 20,000 SFRM3 94.75/94.81/94.87/94.93 put condors, 1.0 ref 94.8625
  • Block, 17,000 SFRM3 94.62/94.68/94.78/94.81 put condors, 1.25 net ref 94.86
  • +5,000 SFRZ3 94.50 puts, 6.0 vs. 95.54/0.08%
  • Block, 5,000 SFRM3 94.75/94.81/94.87 put flys, 0.75 net ref 94.855
  • 8,000 SFRM3 94.81/94.87/94.93 put flys, ref 94.855
  • Block, 5,000 SFRZ3 95.50 puts, 44.0 ref 95.565
  • Block, 30,000 SFRM3/SFRU3 94.75/94.87 put spd spd, 0.5 net Sep over
  • 4,000 SFRU3 94.93/95.06 put spds ref 95.155
  • 3,000 OQM3 96.18/96.43 2x1 put spds ref 96.565
  • 1,500 SFRN3 94.75/95.00/95.12/95.25 broken put condors ref 95.155
  • 1,500 SFRN3 95.06/95.12 put spds vs. SFRQ3 95.12/95.50/95.81 call flys ref 95.14
  • 3,500 SFRM3 94.56/94.62/94.75 put trees rev 94.89
• Treasury Options:
  • over 7,500 FVM3 109.25/109.75 put spds, 17 ref 109-13.25
  • 10,000 FVN3 112/113 call spds
  • 2,000 TYN3 109/110/111/112 put condors ref 115-24.5
  • 1,800 FVM3 111.25 calls, 3.5 ref 109-23.5
  • 3,800 FVN3 109.5 puts, 26-26.5 ref 110-13.5 to -13.25
  • 4,300 FVN3 109.25 puts, 21.5 ref 110-13