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Late SOFR/Treasury Option Roundup, Carry-Over Put Trade

US TSYS

Option accts continued to trade low delta puts Monday, carry-over from last week, hedging further weakness in underlying futures: Highlight trade:

  • SOFR Options:
    • +2,000 0QH3 95.25/95.50/95.62/95.87 put condors, 4.0 ref 95.11
    • Block, 10,000 SFRH3 94.81/95.12/95.50 put flys, 17.5 ref 95.175
    • Block, 2,500 SFRZ3 94.25/95.00/95.50 broken put flys, 4.0 vs. 95.67/0.05%
    • 4,000 SFRU 95.50 calls vs. EDU 95.25 calls
    • Block, 3,000 SFRF 93.5/96.5 strangles, 0.5
    • Block, 4,000 SFRH3 95.31 calls, 6.5 ref 95.185
    • Block, 10,000 SFRU3 94.75/95.00/95.25, 3.0 ref 95.395, 3.5k more on screen
    • Block, 2,750 SFRZ3 95.00/95.12/95.37 put flys 0.5 over SFRH3 95.37 calls
  • Treasury Options:
    • 1,500 USG 126 puts, 50 ref 129-15
    • 5,000 TYF 113.5 puts, 8 ref 114-07 total volume >12k from 7-8
    • 4,600 wk1 TY 113.25/114.25 2x1 put spds
    • 3,000 TYG 113/114 put spds, 25 ref 114-06
    • 4,700 wk5 TY 113/113.75 put spds, 5 ref 114-06.5
    • 2,000 TYF3 112.5/113 put spds, 2 ref 114-07.5
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