Late SOFR/Treasury Option Roundup

Rather robust option volume traded in the lead-up to Wednesday's June FOMC minutes, early call interest segued to puts as underlying futures continued to extend lows (10Y yield marked 3.9434% high) , apparently in anticipation of a stronger than estimated employment data. Salient trade includes:

• SOFR Options:
  • 5,000 SFRZ3 96.00/96.50/97.00/97.50 call condors ref 94.64
  • 5,000 SFRU3 98.25/99.75 put spds
  • Block, 10,000 SFRZ3 94.37/94.62/94.87/95.12 call condors, 6.5 vs. 94.65/0.08%
  • -18,000 SFRZ3 95.50/96.00/96.50 call flys, 1.25 vs. 94.64/0.02%
  • -2,100 SFRZ3 96.00/97.12 1x2 call spds, 0.5-1.0
  • 4,000 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
  • 6,000 SFRM4 96.00/97.00/98.00 call flys ref 95.23
  • 2,500 OQU3 95.75 calls, ref 95.605
  • Block/screen, 8,000 SFRZ3 93.75/94.00 put spds, 1.75 (16.7k blocked Tue)
  • Block, 5,000 SFRH4 97.50/98.00 call spds, 2.0 ref 94.86 vs.
  • Block, 5,000 SFRM4 96.50/97.25/98.00 call flys, 4.0 ref 95.20
• Treasury Options:
  • Block, 7,500 TYU3 117 calls, 8 vs. 111-18.5/0.06%
  • 5,700 TYU3 111 puts, 1-00 ref 111-15 total volume over 11,800
  • Update, over 21,100 TYU3 114 calls, 32 ref 111-26 to -26.5
  • 3,000 TYQ3 112 straddles, 1-20 ref 111-26.5
  • 2,000 TYQ3 109/110.5 put spds, 10 ref 111-26
  • 7,750 TYQ3 110.75 puts, 17 ref 111-28.5
  • 3,190 FVU3 107/108.5 1x2 call spds ref 106-28
  • 1,800 FVU3 107.5 calls, 44.5 ref 106-31.5
  • over 4,500 TYU3 110.5 puts ref 111-30.5
  • 2,000 TYU3 115/117/119 call flys ref 111-31
  • 4,000 TYQ 114/115 call spds ref 111-31
  • over 4,500 TYQ3 110 puts, 7 ref 112-01.5
  • 2,000 TYQ3 114/115 call spds ref 111-28.5
  • over 12,900 TY weekly 111.5 puts, 12 ref 111-29.5
  • 1,500 TYU3 107/114.5 strangles ref 111-29
  • 2,500 FVQ3 108.5 calls, 6 ref 106-30
  • 4,600 TYQ3 114 calls ref 112-00.5
  • over 8,000 wk1 TY 112.5 calls, 11 ref 112-01.5
  • 4,400 TYU3 109 puts ref 112-01
  • 2,600 TYQ3 110.5 puts, ref 111-31