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Late SOFR/Treasury Option Roundup

US TSYS
  • Better put trade reported with a few exceptions Thursday, despite the strong post-claims related rebound in underlying futures that tempered early expectations of a midyear rate hike.
  • Better downside put trade carried over from overnight, particularly in Jul'23 and Aug'23 5Y puts while SOFR saw interest in September and October puts. Conditional bull curve steepener blocked at 1230:10ET, Oct'23 3.0 over Blue Oct'23.
  • SOFR Options:
    • Block, 5,000 SFRV3 95.37/96.37 call spds vs. 3QV3 97.25/98.25 call spds, 3.0 net steepener
    • Block, 10,000 SFRU3 98.25/99.62 put spds ref 94.81
    • 4,500 SFRM3 94.62/94.68/94.75 put flys
    • 2,000 SFRV3/SFRZ3 94.68/94.93/95.12 put tree spds
    • 1,250 SFRZ3 96.00/97.00 call spds ref 95.00 (appr +40k from 10-10.5 Wed)
    • 5,000 SFRM3 94.68/94.75/94.81 put flys, ref 94.73
    • 5,000 OQM3 95.25/95.50 put spds ref 96.195
    • 4,500 OQM3 95.62 puts ref 95.785
    • 1,500 SFRN3 94.56/94.75/94.87 put flys,
  • Treasury Options:
    • 5,000 TYN3 111/112 put spds, 7 ref 113-17.5
    • 2,500 FVN3 107.75/108 put spds ref 108-17 to -16.25
    • over 11,000 TYN3 115 calls, 7-10
    • 7,300 FVQ3 111 calls, 7.5 ref 108-03.75
    • over 8,000 TYN3 112 puts, 19 ref 113-00
    • 1,500 TYN3 118 calls, 1 ref 112-31.5
    • 2,000 TYN3 117.5 calls, 2 ref 113-03
    • over 6,600 FVN3 107.75 puts ref 108-06.25
    • Block, 10,000 FVQ3 108 puts, 27 vs. 108-06.25/0.50%
    • over 5,400 TYQ3 112 puts, 43 ref 113-03.5
    • Block, 10,000 FVN3 108 puts, 29 ref 108-04.5
    • Block, 10,000 FVQ3 107.25 puts, 30 ref 108-04.75
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