Late SOFR/Treasury Option Roundup

Better downside put trade continued to drive SOFR and Treasury option volumes Thursday, underlying futures broadly lower/near lows after late market chatter the BOJ will discuss yield curve control at tonight's policy meeting. Curves bear steepened, however, as projected rate moves through year end move closer to no change after Goldilocks nature of strong data w/ cooling recession expectations.

• SOFR Options:
  • Update, +20,000 SFRZ3 93.50/94.25 put spds 2.75-3.0 vs. 94.595/0.13%
  • Block, -5,000 SFRZ3 94.87/95.12/95.25/95.50 put condors, 1.0 vs. 94.57/0.10%
  • +5,000 SFRH4 94.12/94.37/94.62/94.87 put condors, 10.0
  • 5,500 SFRH4 94.00/94.25/94.37/94.62 put condors ref 94.835 to -.825
  • Block, 5,000 SFRZ3 94.75/95.25 call spds 5.0 w/ SFRZ3 94.25/94.75 put spds 24.0, 29.0 total iron fly vs. 94.60/0.26%
  • +3,000 2QV3 96.00 puts, 9.0 vs. 96.52/0.22%
  • 5,000 SFRZ4 94.00 puts, 8.0
  • Block/screen -20,000 SFRU3 94.50 puts, 2.5
  • 2,000 OQV3 95.37/95.62/95.87 put trees
  • 5,000 OQU3 95.50/95.75/96.00 call flys, ref 95.63
  • Block, 8,000 SFRU3 94.37/94.50 put spds, 2.25 vs. 94.575/0.20%
  • Block/screen, 10,500 SFRZ4 93.50/94.25/95.00 put flys, 10.5 net ref 95.97 to -.975
  • 2,000 SFRU3 94.12 puts, 0.5 ref 94.575
• Treasury Options:
  • over 8,300 FVU3 108.25 calls, 11 ref 106-25
  • 2,500 TUU3 103 puts, 131.5
  • 2,000 USU3 122 puts, 27
  • 5,000 TYU3 108/110 put spds ref 111-23.5
  • 6,200 wk4 TY 112/112.5/113 call flys, 4.0 ref 111-24.5
  • 8,300 TYU3 110 puts, 14 ref 112-03 to -03.5
  • 3,100 TYU3 108.25 puts, 4
  • over 3,000 FVU3 108 calls, 20.5 last
  • over 3,700 TYU3 109.5 puts, 10 last
  • over 4,300 TYU3 110.5 puts, 21 last