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Late SOFR/Treasury Option Roundup

US TSYS
  • Mixed overnight option trade with some decent volume in SOFR call structures segued to better low delta put structure trade Friday. Underlying futures weaker in the short end as projected 25bp rate hike at one of the next 3 meetings gained traction. Reminder, June SOFR options expiring as do final June Eurodollar futures and options.
  • SOFR Options:
    • Block, 10,000 OQU3 95.00 puts, 6.5 vs. 95.90/0.12%
    • Block, -28,467 OQU3 95.75/96.00 put spds, 13.0 ref 95.88
    • 5,000 TYQ3 114.5/116.5 1x2 call spds, 8 ref 112-27.5
    • Block/screen, over 52,500 SFRQ3 94.68 puts, 12.5 vs. 94.71/0.47%
    • 4,500 SFRQ3 94.56/94.68 2x1 put spds ref 94.665
    • 2,000 SFRU3 94.50/94.75 put spds vs. 94.75 calls, ref 94.665
    • -5,000 OQN3 95.37/95.50/95.56/95.75 broken put condors, 3.5 ref 95.915
    • 2,000 SFRN3 94.62/94.68/94.81 broken put trees, ref 94.67
    • Block, 5,000 OQM3 95.50 puts, 2.0 ref 95.54
    • 5,000 OQN3 96.50 calls ref 95.985
    • 4,000 OQQ3 96.50/97.00/97.50 call flys, ref 95.99 to -.985
    • 5,000 SFRM3 94.68/94.75/94.81 put flys, ref 94.785
    • Block/screen, 20,500 SFRU3 96.00/97.00 call spds, 1.75 ref 94.685 to -.69
    • 2,000 2QM3 96.75/97.12/97.50 call flys ref 96.65
    • Block/screen, over 12,250 SFRQ3 94.68 puts, 12.0 vs. 94.71/0.47%
    • 2,000 SFRN3 94.18/94.81 put spds ref 94.69
  • Treasury Options:
    • Update, over 13,300 TYN3 114.5 calls, 3 ref 112-25.5 to -31
    • 4,000 USU3 114/118 put spds ref 127-18
    • 2,000 TYQ3 114/115 2x3 call spds ref 113-08
    • 1,500 TYN3 114.25 calls, 8 ref 113-11
    • 2,000 TYN3 113.5 puts, 27 ref 113-14.5
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