Late SOFR/Treasury Option Roundup

SOFR and Treasury options leaned toward better put trade on net Friday, carry-over from the overnight session. Upside call structure trade did see a pick-up in buying from late morning on as the underlying futures climbed back near post-jobs data highs. Translation: option accounts favored downside puts as expectations of a 25bp rate hike on July 26 remained high (over 91%). Moderating jobs data that spurred the rebound in rates triggered the pick-up in call buying as further rate hike pricing by year end receded.

• SOFR Options:
  • 6,500 SFRU3 99.37/99.75 put spds ref 94.58
  • 5,275 SFRZ3 94.56/95.00/95.50 broken call flys
  • Block, 10,000 SFRZ3 98.50/97.50 call spds, 1.25 on splits vs. 94.64
  • Block/screen, 16,500 SFRU3 94.00/94.50 put spds 7.5-7.25 vs 94.58/0.38%
  • 1,000 SFRN3 94.56/94.62/94.68 call flys ref 94.57
  • 1,000 OQN3 95.50/96.00 put spds vs. 2QN3 96.56 puts
  • 4,000 SFRU3 94.25/94.37/94.50 put flys ref 94.58
  • 2,000 SFRV3 94.25/94.50 2x1 put spds 3.5 ref 94.58
  • 2,000 SFRZ3 94.18/94.50/94.81 put flys ref 94.575
  • 1,000 2QU3 96.75/97.00 call spds ref 96.16
• Treasury Options:
  • 3,000 TYQ 113 calls, 3 over TYQ 108.5/109 put spds ref 110-22
  • 2,500 FVU3 106/107/107.5/108.5 call condors ref 106-10.75
  • 4,500 TYU3107/107.5/111.5 broken put trees, 103 net ref 110-22
  • Update, over 16,000 TYU3 111 puts, 143-127 ref 110-19.5 to -23
  • over 6,000 TYQ3 112.5/113.5 call spds, 3 ref 110-19
  • 5,000 TYU3 111 puts, 143 ref 110-19.5
  • 5,000 TYQ3 109.75 puts, 23 ref 110-19
  • 2,800 TYU3 113 calls, 28 ref 110-16.5
  • over 3,000 TYQ3 109/110 put spds ref 110-18 to -21
  • -6,000 USU3 116/118/120/122 put condors, 25 ref 123-27
  • +2,500 TYU3 112.5/114.5/115.5 1x3x2 broken call flys ref 110-15, 12
  • 1,000 FVQ3 105/105.5/106 put flys ref 106-01.5
  • 2,000 TYQ3 112/112.5 call spds, 6 ref 110-16.5
  • 6,500 TYQ3 109 puts, 13-14 ref 110-22 to -17.5
  • 1,000 FVU3 103.5/105 put spds ref 106-05
  • 2,750 FVQ 104.75 puts ref 106-04.75
  • 1,000 FVQ3 107.75/108.75 call spds ref 106-03.75