Late SOFR/Treasury Option Roundup

Continued focus on upside calls in 2s, 5s and 10s reported Monday on otherwise muted volumes to start the new week. Underlying futures traded firmer all session after paring early session gains amid incoming Treasury and corporate debt issuance. SOFR Option trade proved more mixed, moderate put interest as underlying futures reversed course, traded weaker in Jun'23-Jun'24.

• SOFR Options:
  • Block, 10,000 SFRU3 94.62/94.87 2x1 put spds, 8.0 ref 94.655
  • over 11,600 SFRQ3 95.50 calls, ref 94.66
  • Block, 9,000 SFRQ3 94.62 puts, 9.0 vs. 94.665/0.44%
  • Block/screen 13,750 SFRZ3 96.00/96.50/97.00/97.50 call condors, 1.5
  • 1,000 OQN3 96.25/96.50/96.62/96.87 call condors, ref 95.94
  • 2,000 SFRQ3 94.25/94.62/94.75 broken put flys ref 94.675
  • 8,700 SFRN3 94.50/94.56/94.62 put trees, ref 94.675
  • 4,200 SFRU3 95.00/95.50/96.00 call flys ref 94.675
  • 2,000 SFRZ3 93.5/94.5/95.00 broken put trees ref 94.81
  • 4,000 SFRQ3 94.62 puts ref 94.675
• Treasury Options:
  • 1,200 TYQ3 113 straddles, 138
  • 2,000 TYU 116 calls, 26 ref 113-13.5
  • 1,400 FVQ3 109.5/110 call spds ref 108-00.5
  • 3,500 FVQ3 109/110 call spds ref 108-00 to -00.25
  • 2,000 USQ3 134/136 call spds, ref 128-16
  • over 2,700 TYQ3 115 calls, 16 ref 113-11
  • 2,000 TUQ3 102.5 calls, 9 ref 102-03.88