Late SOFR/Treasury Option Roundup

Carry-over interest in low delta SOFR and Treasury puts and put spreads noted Thursday as underlying futures trade weaker on the back of hawkish Fed speak (Dallas Fed Logan: "current data doesn't justify a pause" in current policy). Chances of a 25bp cut in November have fallen to 80%. Salient trade:

• SOFR Options:
  • Block, +20,000 SFRU3 94.50/94.75/94.93 broken put trees, 5.25
  • Block/screen, 10,000 SFRM3 94.75/94.81/94.87 put flys, 0.75 ref 94.8375
  • -10,000 SFRM3 94.93/95.06/95.18 call flys, 0.75
  • +5,000 SFRM3 94.93/95.06 call spds, 1.25
  • +1,500 SFRM4 100.0 calls, 2.5
  • +5,000 SFRM3 94.75 puts, 5.25 ref 94.825
  • Block, 10,000 SFRU3 94.75/94.87 put spds, 3.5 over 95.37/95.50 call spds vs. 95.04
  • Block/screen, 15,000 SFRM3 94.62/94.68/94.75/94.81 put condors, 1.25 ref 94.875
  • Block, 10,000 SFRM3 94.56/94.62/94.68/94.75 put condors, 1.5 ref 94.845
  • Block, 6,500 SFRM3 94.37/94.62 put spds, 1.0 ref 94.8525
  • Block, 3,000 SFRZ3 94.50/95.00 put spds, 12.0 ref 95.51
  • 3,900 SFRM3 94.75/94.87/95.00 call flys ref 94.8675
• Treasury Options:
  • 8,600 FVM3 109/109.25 put spds, 8 ref 108-31.5
  • Over 40,000 TYM3 113 puts, 6-8
  • over 13,000 FVM3 108.5 puts, 7.5 last ref 109-03 to -03.25
  • 2,000 TYM 115/116/117 call flys, 5 ref 114-06
  • 1,000 USM3 125/127/128 put trees, 19
  • 5,300 TYM3 116 calls, 5 last ref 114-14.5
  • 5,000 TYU3 119.5/121.5 call spds ref 115-10
  • 2,000 TYM3 113.5 puts, 8 ref 114-14
  • 2,600 TYM3 118 calls, 1 ref 114-13.5
  • 4,500 FVN3 112 calls, 17 ref 110-00.5
  • 5,000 FVN3 109 puts, 23 ref 110-00
  • 1,450 FVN3 111.5 calls, 24 ref 110-04.25