Late SOFR/Treasury Option Roundup

After generally pared trade in the first half, interest shifted toward calls and call spreads in the second half. Notable trades targeted a rebound in July SOFR and and 5Y underlying futures as well as Dec'23 call opener hedging for projected rate hikes to return.

• SOFR Options:
  • Block, 27,500 SFRZ3 98.87 calls, 2.0 vs. 95.105/0.05%
  • -8,000 3QM3 96.87/97.25 call spds 8.5 vs. 96.87/0.40%
  • +20,000 SFRN3 94.93/95.00/95.06 call flys, 0.5 ref 94.795
  • Block, total 6,000 OQU3 98.00 calls, 4.5 ref 96.39
  • Block, 4,000 OQN3 96.00/96.43 put spds 6.5 over 2QN3 96.68 puts
  • 5,000 SFRM3 94.68/94.75/94.81 put flys ref 94.7375
  • 2,000 SFRM3 94.75/94.81/94.87 call flys ref 94.7375
  • 7,300 SFRM3 94.81/94.87 call spds ref 94.7425
  • over 10,000 SFRM3 94.75/94.81/94.87 put flys, ref 94.745
  • 1,500 SFRZ3 94.50/94.75 put spds ref 95.115
  • 1,800 SFRZ3 96.00/97.12 1x2 call spds ref 95.115
  • 1,000 SFRM3 94.37/94.56 1x2 call spds ref 94.725
• Treasury Options:
  • 2,000 TYN3 114/115 call spds, 22 ref 113-24.5
  • 3,000 FVU3 109.5/111 call spds, ref 108-17.75
  • +11,600 FVN3 109/110 call spds .5 over FVN3 107.5 puts ref 108-18
  • over 4,000 TYN3 115 calls, 23 ref 114-04.5
  • 4,000 TYN3 111/112 put spds, ref 114-05.5
  • 10,000 FVN3 110 calls, 11 ref 108-24.5