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Late SOFR/Treasury Option Roundup

US TSYS
  • Generally quiet FI option trade Wednesday, two-way positioning in SOFR calls and midcurve volatility sales reported. Salient trade includes:
  • SOFR Options
    • 4,000 SFRM4 96.50/98.50 call spds, 23.0 ref 95.435
    • -4,000 SFRH4 98.00 calls, 4.5
    • over 3,000 SFRU3 94.56 puts, 1.5 ref 94.635
    • 2,500 SFRU3 94.50/94.56/94.62 put flys, ref 94.625 to-.63
    • -8,000 OQZ3 94.50/98.00 strangles, 8.5
    • -5,000 SFRU3 95.00/95.50/9600 call flys, 1.0 vs. 94.655/0.06%
    • +10,000 SFRU3 95.00/95.25 call spds, 1.5 vs. 94.665/0.05%
    • +10,000 OQU3 96.50/97.00 call spds vs. 2QU3 97.25/97.75 call spds, 2.0 net steepener
    • -5,000 SFRZ3 95.50 calls, 13.0 vs. 94.725/0.20%
    • 2,000 SFRU3 94.43/94.62 put spds ref 94.645
    • 3,000 SFRU3 94.75/94.87 put spds ref 94.65
    • 3,000 OQU3 96.00/96.50/97.5 broken call trees ref 95.85 to -.855
  • Treasury Options:
    • -6,000 TYU3 111.5/113/114.5 iron flys, 3 net (2xstrangle vs. 1xstraddle)
    • over 2,100 FVU3 101.5 puts, 1 ref 107-20.25
    • over +7,500 FVQ3 109 calls, 9-9.5 ref 107=20.75
    • 2,750 TYQ3 115 calls, 11 ref 112-31
    • over 8,100 TYQ3 114 calls, 22 ref 112-30
    • over 5,500 TYQ3 112 puts, 24 ref 112-28.5
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