Late SOFR/Treasury Option Roundup: Better Upside Calls

Upside calls drew more interest on light overall volume Monday, a muted start to the week with Japan out for one day holiday, and no significant data. Underlying futures traded mildly higher on a narrow range, lead quarterly Jun'23 SOFR steady with projected rate hike expectation: July 26 FOMC is 93.6% w/ implied rate of +23.4bp to 5.313%

• SOFR Options:
  • over 5,200 OQU3 97.00 calls 2.5 ref 95.835
  • -5,000 2QH3 95.75/97.75 call over risk reversals, 0.0 net vs. 96.75/0.40%
  • +4,000 OQZ3 95.37/96.00 2x1 put spds, 7.0 ref 96.17
  • 4,000 SFRH4 97.00/94.50 call spds vs. 2QH4 98.50/99.00 call spds, Green Aug'24 bought over, 0.5 net db on bull curve flattener
  • Block, 5,000 OQV3 95.75/96.00 put spds 1.5 over 2QV3 96.25/96.50 put spds
  • 1,000 SFRU3 94.37/94.50/94.62 put flys
• Treasury Options:
  • over 4,400 TYQ3 112.75 calls, 15 last ref 112-16
  • 2,000 TYU3 109/111/112/113 broken put condors
  • 2,500 FVU3 108.5/109 call spds, 8.5 ref 107-17
  • 4,000 FVU3 108.75/109 call spds, 4.5 ref 107-19
  • 10,000 TYU3 113.5/115 call spds, 21
  • 13,000 FVU3 109 calls from 17.5-19.5 ref 107-24.5
  • 5,000 TYQ3 111/111.5 put spds, 3 ref 112-23 to -23.5
  • 2,000 wk2 FV 108.25 calls ref 107-18.25