Late SOFR/Treasury Option Roundup

Much better Treasury option flow on net Tuesday, relatively mixed between out-of-the-money call and put structures as underlying futures quickly shrugged off soft midmorning data, curves bear steepening with intermediate to long end futures underperforming.

• Treasury Options:
  • over 14,000 TYU3 111 calls, 63 down to 50
  • 2,000 TYU3 1008/110 put spds, 23 ref 110-30
  • 4,500 FVU3/FVV3 109.5 call spds
  • 5,000 TYU3 109.5/110.5 2x1 put spds, 0.0
  • over 5,000 TYU3 109/110 put spds, 15 ref 110-30.5
  • 7,000 FVU3 106.5/106.75 put spds, 9.5 ref 106-17.75
  • over 13,000 TYU3 109/110.5 put spds 25 vs. 111-01 to -01.5/0.23%
  • 2,000 TYU3 108/109 call spds, 8
  • 3,000 TYV3 110/111 2x1 put spds
  • 1,500 TYU3 114/115 call spds, 3 ref 111-00
  • Over 20,000 FVU3 109 calls, 3.5-4 ref 106-19.25 to -25.5
  • 8,400 FVU3 107.75/108.5 call spds ref 106-26.25 to -25.75
  • 1,000 TYU3 111.75/112.25/112.75/113.25 call condors, ref 111-14
  • 3,500 TYV3 109/110 put spds, 14 ref 111-28
  • 2,000 USU3 128/131 call spds ref 124-13
• SOFR Options:
  • Block, 3,000 SFRZ3 95.75/96.00 call spds and SFRH4 97.00/97.25 call spds, both at 1.0
  • 2,500 SFRZ3 94.87/95.00 call spds ref 94.625 to -.63
  • Block, 2,500 SFRV3 94.50 puts, 7.0 vs. 94.625/0.33%