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Late SOFR/Treasury Option Roundup

US TSYS
  • Heavy option volumes Thursday, early put trade evaporated as underlying futures rallied on the back of higher than expected weekly claims for the second consecutive release (+262k vs. +245k est after last week's +261k).
  • Better upside call buying reported as traders faded Wednesday's forward guidance. Salient trade, scale buyer over 107,000 Dec'23 SOFR 96.50 calls from 6.5-7.5 ref 94.765 to -.77, adding to over +105k late Wednesday.
  • Early Put buying: as focus shifted to July and August expirations after Wednesday's "hawkish hold" policy annc from the FOMC with 12 of 18 Fed officials expecting another 50bp later this year. "July is live, Fed Chair Powell reiterated. Aside from short end SOFR options, 5Y Tsy puts drew larger blocks.
  • SOFR Options:
    • over +107,500 (50k block) SFRZ3 96.50 calls, 6.5-7.5 ref 94.765 to -.77
    • Block/screen, +15,000 SFRZ3 95.50/OQZ3 97.25 call spds, 1.5 bull steepener
    • Block, 9,000 SFRM3 94.68/94.81/94.87/95.00 call condors, 0.5 ref 94.7875
    • 4,500 OQU3 96.50/97.00 2x3 call spds ref 95.93
    • 4,000 SFRQ3 94.50/94.75 3x2 put spds, ref 94.68
    • 3,000 SFRN3 94.68/94.93/95.12/95.37 call condors ref 94.695
    • 1,000 SFRZ3 96.00/96.25/96.62/96.75 call condors, ref 94.795
  • Treasury Options:
    • Block, 5,000 TYQ3 112 puts, 39 vs. 107-21/0.60%
    • over 22,500 FVN3 109.25 puts, 2 ref 107-17.5
    • Block, total 16,000 FVN3 109.25 puts, 147-152 vs.
    • Block, total 14,000 FVN3 109.5 puts, 163-204 ref 107-17.75 to -17.5
    • Block, 10,000 FVQ3 109.5 calls, 11 ref 107-23.25
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