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Late SOFR/Treasury Option Roundup

US TSYS
  • Mixed option trade carried over from overnight session, underlying futures at or near overnight lows. Accts continued to plying the sidelines after the BOE followed Norges bank 50bp hike overnight. Salient trade included larger Dec'23 SOFR call spreads and Aug'23 10Y ratio put spread:
  • SOFR Options:
    • over 6,500 SFRU3 99.37/99.87 put spds
    • 2,000 SFRU3 94.43/94.62 put spds, ref 94.65
    • 4,000 SFRZ3 99.25/99.75 put spds
    • 5,000 SFRU3 98.25/99.75 put spds
    • 6,000 SFRU3 98.25/99.62 put spds
    • +1,500 SFRH4 97.00 calls, 11.5 vs. 95.065/0.13%
    • Block, +7,420 OQN3 96.62/96.75 call spds, 1.0 vs. 95.955
    • Block, 5,000 SFRM4 96.50/97.00/97.50 call flys 2.5 ref 95.525
    • Block/screen, 11,200 SFRH4 96.00/OQH4 97.25 call spd, 0.5 net, short Mar over
    • 7,500 SFRV3 94.50 puts, 10.5-11.0 ref 94.77 to -.765
    • 3,000 2QQ3 97.00 calls ref 96.66
    • 25,000 SFRZ3 95.50/96.00 call spds, 5.0 ref 94.775/0.08%
    • 3,000 SFRU3 94.25/94.37/94.62/94.75 1x2x2x1 put condors ref 94.655
    • 1,000 SFRZ3 96.00/97.50/98.25 1x3x2 call flys ref 94.77
  • Treasury Options:
    • 1,500 TYQ3 112.5 puts, 36 ref 113-03.5
    • 4,000 TYN3 112/112.5 put spds ref 113-01.5
    • 2,000 TYN3 112.25/112.5/112.75 put trees ref 113-03
    • 1,500 TYN3 114 calls, 3 ref 113-03
    • 1,500 FVN3 108.25/108.5 call spds, 2 ref 107-26.5
    • over 16,000 TYQ3 112/113 2x1 put spds ref 113-03.5 to -03
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