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Late SOFR/Treasury Option Roundup

US TSYS

Predominantly low delta put and put structures traded Thursday, carry over from overnight amid positioning in June SOFR options that expire two days after the next FOMC on June 14. Post-data put buyers continued through the session, fading the post-data rally. In the meantime, implied vol recedes as debt ceiling concerns ebb after the Fiscal Responsibility Act passed the House yesterday, focus on Friday's employ data as bill heads to the Senate.

  • SOFR Options:
    • Block, 20,000 SFRU3 95.12/95.25 put spds, 10.0 ref 94.87
    • Block, 20,000 SFRU3 94.43/94.68/94.75/94.81 broken put condors, 12.0 net ref 94.86
    • Block, 5,000 SFRZ3 94.00/94.25 put spds, 2.5
    • Block, 5,000 SFRM3 94.75/94.87/95.00 put flys, 3.5 ref 94.7475
    • Block, 5,000 SFRM3 94.68/94.81/94.93 put flys, 4.75 ref 94.7525
    • Update, 22,000 pit/screen SFRM3 94.68/94.75/94.81 put flys, 1.0 ref 94.725
    • +7,500 SFRZ4 94.00 puts, 9.0 ref 96.785
    • +10,000 SFRM3 94.43/94.56 put spds, 0.5
    • 3,000 SFRZ3 94.18/94.68 put spds vs. 95.37/95.93 call spds ref 95.11
    • 2,000 SFRM3 94.84/95.12 call spds vs. 94.00/94.56/94.62/94.68 broken put condors
    • 6,000 SFRM3 94.93 calls, 0.5 ref 94.725
    • 2,000 SFRM3 94.75/94.81/94.87 put flys ref 94.7225
    • 2,250 SFRM3 SFRM3 94.62/94.75 2x1 put spds, ref 94.7225
    • 1,000 SFRM3 94.68/94.75/94.81 2x3x1 put flys ref 94.7125
    • Block/screen, 15,000 SFRM3 94.68/94.75/94.81 put flys, 1.0 ref 94.71 to -.7125
    • 9,000 SFRM3 94.68/94.75/94.81/84.87 put condors ref 94.71 to -.7175
  • Treasury Options:
    • over 9,600 TYU3 112 puts, 45 ref 114-23.5
    • 6,000 USN3 125/127 put spds, 24
    • 5,000 TYN3 113 puts, 20 ref 114-25
    • 4,000 TYN3 112 puts, 17 ref 114-04.5
    • 9,600 FVN3 108 puts, 25-25.5 ref 108-27 to -26.75
    • 6,900 FVN3 108.25/109.75 call spds, 44.5 ref 108-27.75
    • Block, -10,000 FVN3 108/110 put over risk reversal, 5.5 net ref 108-25.5
    • 2,000 TYN3 113.5 puts, 40 ref 114-06
    • 2,700 TYU3 110/110.5/111 put trees ref 114-13
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