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Late SOFR/Treasury Option Roundup

US TSYS

Mixed overnight flow carried over to the NY session Friday, some chunky wing flow noted below included strike re-positioning and outright squaring as underlying futures traded firmer - rate hike projections through year-end remained muted. Futures bounced off near three week lows overnight after BOJ left rate steady but adjusted yield curve control, allowing 10Y yield "to fluctuate around 0.5", kept 10Y yield target at appr 0.0%. Rates and stocks sold off late Thus after Nikkei sources story aired possibility of YCC tweak. Salient trade:
SOFR Options:
+20,000 SFRX3 94.31/94.50 2x1 put spds 2.5-2.75
Block, -20,000 SFRH4 96.75 calls, 6.5 vs. 94.86/0.10
Block, +30,000 SFRU3 94.37/94.50 put spds, 2.0 ref 94.59
3,900 SFRH4 96.00/96.37/96.62/97.00 call condors ref 94.86 to -.865
+100,000 SFRH4 97.00/97.25 call spds, 1.0 ref 94.83
-2,500 SFRV3 94.50/94.62/94.75 iron flys, 9.0
3,000 SFRZ3 94.68/95.00 call spds, ref 94.625
Block/screen, over 40,000 SFRV3 94.43 puts, 27k blocked 6.0 vs. 94.595/0.29%
3,000 SFRZ3 94.75/94.87/95.12 broken put trees, ref 94.62
Blocks, total 10,000 SFRH4 94.62/95.12/95.62 call flys, 8.5 ref 94.835 -.84
4,000 SFRV3 94.12/94.37/94.50/94.62 broken put condors, ref 94.62
5,100 SFRV3 94.56/94.62/94.68/94.81 broken call condors ref 94.615
Treasury Options:
21,800 TYU3/TYV3 114 call spreads, 19 net (Oct over)
+18,500 FVU3 107.5/107.75/108.5/109 broken call condors, 2 cr vs. 106-31.5/0.05%
over 5,700 USU3 120 puts, 26 last ref 123-31
over 18,000 wk4 TY 111 puts, 2 last
over 14,400 wk4 TY 111.5 calls, 5 last ref 111-13
8,000 TYU3 110/111 put spds, 20-22 ref 111-13.5 t o-16
8,100 TYU3 110.5 puts, 35 ref 111-11.5
3,300 FVU3 108.25 calls, 9.5 last
3,000 FVU 107.25 calls, 28.5 last
3,700 TYU3 112 calls, 37 last
over 3,000 TYU3 113, 113.5 and 114 calls
over 5,100 TYU3 110 puts, 24 last
over 23,000 wk4 TY 112 calls, 6 down to 1 ref 111-02.5

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