Late SOFR/Treasury Option Roundup

Modest summer volumes segued from downside put structures overnight into early New York trade, to better calls trade in the second half. Accounts alternately repositioned or faded weaker underlying futures as projected 25bp rate hike at one of the next four meetings persist.

• SOFR Options:
  • Block, 16,000 SFRU3 94.75/95.00/95.50 broken call flys, 1.25 ref 94.635
  • +10,000 SFRZ3 96.50 calls, 6.0 vs. 94.72/0.10%
  • Block, 15,000 SFRU3 94.62/94.87 2x1 put spds, 9.0 net ref 94.645
  • -5,000 SFRV3 95.00/95.25 call spds, 4.25
  • +10,000 SFRN3/SFRQ3 95.00/95.12 call spd spd, 0.5/Aug over
  • 1,000 SFRV3 94.12/94.37/94.50/94.62 put condors
  • 1,000 SFRN3 94.50/94.56/94.62/94.68 put condors
  • 1,000 SFRZ3 94.50/94.62/94.75/94.87 put condors ref 94.765
  • 1,000 SFRN3 94.56/94.62/94.68 put trees, 3.0 ref 94.655
  • 1,000 OQN3 95.57/96.00/96.12 call flys, ref 95.885
  • Block, 2,000 SFRU3 94.75/95.00 put spds, 20.5 ref 94.66
• Treasury Options:
  • -6,000 TYU3 111 puts, 33 vs 112-27.5/0.16%
  • 3,100 FVQ3 108 calls, 30.5 ref 107-27