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Late SOFR/Treasury Option Roundup

US TSYS
  • In the lead-up to Chairman Powell's semi-annual policy testimony to Congress, the latest option trade includes better downside put positioning for two 25bp hikes by year end (put condor roll-down and Sep put fly with underlying SFRU3 trading 94.64. On the flipside, paper positioning for rate cuts in 2025 with long duration Green Mar'25, Sep'25 and Dec'25 upside call buying.
  • SOFR Options:
    • -7,500 SFRU3 94.25/94.75 put spds 11.0 over SFRH4 93.5/94.0/94.5 put flys at 1125:34ET
    • -15,000 SFRZ3 94.50/94.75/95.00/95.25 put condors vs. 94.12/94.37/94.62/94.87 put condors
    • +10,000 SFRU3 94.25/94.37/94.50 put flys, 2.25
    • +2,000 SFRZ3 94.50/94.62/94.75 put flys
    • -5,000 SFRH5 96.00/97.00 put over risk reversals 0.0 vs. 96.495/0.72%
    • +15,000 SFRU5 97.50 calls, 45.0
    • 3,000 SFRQ3 94.62/94.81 put spds, 12.5 ref 94.655
  • Treasury Options:
    • 4,000 FVQ3 109/110 call spds, 10 ref 107-29.5
    • 3,000 TYQ3 110 puts ref 113-07
    • 1,500 USU3 122/123 put spds, ref 127-30
    • 1,200 FVN3/FVQ3 108.5/109/109.5 call fly spd
    • 2,000 FVQ3 105.25/106/107.5 broken put fly on 2x3x1 ratio of 107-23.75
    • -20,000 TYN3 112 puts, 2 ref 113-02.5
    • 3,500 FVXN3 107.5 puts vs. 1750 FVQ3 107.25 puts, 6.5 net on the 2x1
    • over 3,100 FVQ3 108 calls, 39.5-40.5
    • 1,400 FVN3 108/108.25/108.5 call flys
    • over 2,600 TYN3 113.5 calls, 15-11
    • 2,000 TYN3 111.5/112.5 put spds 2 over TYN3 114 calls ref 113-01
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