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Late SOFR/Treasury Option Roundup

US TSYS
Mixed, two-way trade on decent volumes reported Friday. SOFR and Treasury option trade leaned toward better call interest (mix of outright and position adjusting) as underlying futures came under heavy knee-jerk pressure following the higher than expected May employment data.
  • SOFR Options:
    • 5,000 SFRM3 94.62/94.68/94.75 put flys, 0.25
    • Block, 5,500 2QN3 97.00/97.25 put spds 12.5 over 97.25/97.50 call spd ref 96.915
    • Block, 20,000 SFRZ3 96.25/97.25 call spds, 9.0 vs. 95.13/0.08%
    • Block, 2,500 OQU3 96.62/97.37 2x3 call spds, 28.0 net ref 96.41
    • -20,000 SFRZ3 96.50/97.75 call spds, 7.5-7.75 ref 95.15
    • Block, 5,000 SFRM3 94.75/94.87/95.00 put flys, 3.5 ref 94.7325
    • Block, 5,000 SFRQ3 94.87/95.06/95.31 broken call flys 1.5
    • Block, 6,500/screen SFRM3 94.56/94.62/94.68/94.75 put condors, 1.25
    • Block/screen, 32,000 SFRM3 94.87/94.93 call spds, 0.5 ref 94.74 to -.7425
    • 5,250 SFRH4 95.75/96.50 call spds vs. OQH4 97.50/98.25 call spds,
    • 3,000 SFRH4 96.00/OQH4 97.25 call spds
    • 1,500 SFRM3 94.62/94.75 put spds ref 94.865
    • 3,000 SFRM3 94.75/94.81/97.87/94.94 put condors ref 94.7325
  • Treasury Options:
    • Block, 8,000 TYN3 112.5 puts, 18 vs. 114-00.5/0.25%
    • Ratio 10Y package Blocked at 1134:34ET
    • 11,000 TYN3 118.5/119.5 call strip 4 w/
    • 22,000 TYN3 112 puts, 12
    • Vol sale followed on screen:
    • -16,000 TYN3 112/118.5 strangles at 15 ref 114-03.5
    • more recently, 8,500 TYQ3 111/117.5 strangles, 35 ref 114-01.5
    • +10,000 TYN3 117 calls, 9 ref 114-12.5
    • 1,800 TYN3 111.25 puts ref 114-20.5
    • 2,200 FVU3 110/112 call spds ref 109-08
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