Late SOFR/Treasury Option Roundup

Option trade continued to focus on calls with one notable exception Thursday as underlying futures extend rally well past Wed's post-CPI related highs -- back to June 29 levels (TYU3 113-03 high). No obvious headline driver, more flow driven overnight with EGBs following suit. Cooler rate hike projections in longer dates drove batter call buying on net, while one large account faded the rally via 40,000 SFRV3 put condors:

• SOFR Options:
  • Block, 40,000 SFRV3 94.43/94.68/94.75/95.00 put condors, 10.0 ref 94.75 to -.735
  • 4,250 SFRZ3 94.87/95.00 call spds, 2.5 ref 94.75
  • 1,700 SFRQ3 94.62 calls ref 94.63
  • Block/screen, 4,250 SFRZ3 94.50/94.62/94.75/94.87 put condors, 3.5 ref 94.725
  • +55,000 SFRZ3 94.87/95.00 call spds, 2.5 ref 94.71 to -.735/0.06%
  • 1,000 OQU3 95.37/95.75 put spds vs. 2QU3 96.12/96.50 put spds
  • 2,000 SFRN3 94.62/94.75 call spds ref 94.63
  • 1,000 SFRU3 94.62/94.75/94.87 call flys ref 94.625
• Treasury Options:
  • 10,000 TYQ3 114/116/118 call flys, ref 113-02
  • 2,700 TYU3 110/111 put spds, 12 ref 112-19
  • 2,000 FVU3 107.5 calls, 59 ref 107-24.5
  • over 10,400 FVQ3 108.5 calls, 5.5 ref 107-24.5
  • over 6,300 TYQ3 115 calls, 1 ref 112-23
  • 4,500 FVU3 107.5 puts, 42.5 last ref 107-25
  • 4,000 wk2 TY 111.75 puts, 4 ref 112-17
  • over 7,200 TYQ3 114 calls, 3 ref 112-16
  • 2,800 FCQ3 108 calls, 12.5 ref 107-21.5
  • 5,100 FVU3 108.5 calls, 28 ref 107-20.75
  • 3,000 TYU3 114.5 calls, 21 ref 112-10
  • 5,000 TYU3 112.5/114 call spds 1 over TYU3 111 put ref 112-09.5
  • 1,300 TYQ3 112.75/113.25 call spds ref 112-08.5