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Late SOFR/Treasury Option Roundup: Heavy Put Volume Ebb and Flow

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Heavy volumes reported in SOFR and Treasury options Wednesday, mixed flow on net as accounts shifted strategies in reaction to the CPI, Retail Sales Data. Option accounts have been well positioned for higher yields since April's "hot" CPI read. Heavy upside call buying in the last few sessions anticipated the reaction to this morning's in-line CPI and Retail Sales miss as underlying futures surged. First half trade favored put unwinds and vol sales as rate cut pricing projected two 25bp by year end (Sep and Dec). By midday, trade shifted to buying downside puts again as option accounts looked to fade initial reaction.
  • SOFR Options:
    • Block, 8,874 94.68/94.75/94.81/94.88 put condor 2.0
    • -8,000 SFRM4 94.68/94.75/94.81 put flys 1.0 ref 94.70
    • -5,000 SFRM5 95.00 puts, 19.0 vs. 95.695/0.24%
    • +5,000 SFRQ4 94.43/94.68 put spds, 1.0 vs. 94.90/0.10%
    • -10,000 SFRN4 94.93/95.06 2x1 put spds 0.5, ref 94.90
    • -10,000 SFRU4 94.93/95.06 2x1 put spds 3.5 ref 94.915
    • -5,000 0QU4 96.62 calls, 8.5 vs. 95.89/0.16%
    • Block, total 40,000 SFRZ4 94.37/94.62/94.87 put flys, 5.75/spilts
    • Block, +15,000 SFRH6 93.75/94.25/94.75 put flys, 4.0
    • Block, 10,000 SFRH6 93.75/94.25/94.75 put flys, 3.75/splits
    • Block, 5,000 SFRU4 94.81/94.93/95.06 call flys, 3.0
    • -10,000 SFRU4 94.56/94.62 put spds, 0.25 ref 94.92
    • +7,000 0QM4 95.37 puts, 8.0 vs. 95.61/0.38%
    • +10,000 SFRV4 94.12/94.62/94.75 put trees w/ SFRZ4 93.41/94.50/94.62 put tree, 1.75 total
    • -10,000 SFRU4 94.56/94.62 put spds, 0.25 ref 94.92
    • +7,000 0QM4 95.37 puts, 8.0 vs. 95.61/0.38%
    • +10,000 SFRV4 94.12/94.62/94.75 put trees w/ SFRZ4 93.41/94.50/94.62 put tree, 1.75 total
    • 25,750 SFRZ4 95.06/95.12/95.18/95.25 call condors 0.625-0.7 synth ref 95.125
    • Block/total 20,000 SFRZ4 94.37/94.62/94.87 put flys, 6.0 ref 95.135
    • 2,000 2QM4 96.31/96.43/96.50/96.62 call condors ref 96.08
    • Block, 4,000 SFRM5 94.00/94.50 put spds, 5.5 ref 95.615
    • Block/screen, 6,500 SFRZ4 94.75/94.87 put spds, 5.0 ref 95.13
    • Block, 5,000 0QM4 95.87/96.12/96.25 broken call flys, 3.0 vs. 95.575/0.10%
    • 2,000 0QM4 95.87/96.00 call spds vs. 3QM4 96.50/96.62 call spds
    • 4,000 SFRN4 94.68/94.75/94.81/94.87 put condors ref 94.885
  • Treasury Options:
    • Block, 2,000 TUM4 101.87/102.12 call spds vs. 101.25/101.37 put spd, 4 net iron condor
    • 5,000 FVM4 106.75/107 call spds, 3.5 ref 106-04
    • 5,000 FVM4 106.5/107 call spds vs. wk3 5Y 106.25/106.75 call spds, .5 net Jun over
    • 5,000 FVM4 106/107 call spds 19.5 ref 106-08.25.
    • Block, 34,950 wk3 FV 108/108.5 put spds 5 ref 109-09.5
    • 4,000 TYM4 109.25 puts, 31 ref 109-10
    • 4,500 FVM4 106.5/107 call spds 5 ref 105-29.5
    • 2,000 TYQ4 109.5/111.5 1x2 call spds ref 109-15.5
    • 1,700 FVM4 109 calls ref 106-09.25
    • 1,500 FVM4 104.5/105 put spds ref 105-28.5
    • 5,000 TYM 109/109.5 call spds, 16 ref 109-06
    • 2,500 TYM4 108.25/110.25 strangles, 23 ref 109-06.5
    • 2,500 TYM4 110/110.5 call spds, 6 ref 109-05.5
    • 1,500 TYM4 109.5/110.5 call spds, 15 ref 109-05.5
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Heavy volumes reported in SOFR and Treasury options Wednesday, mixed flow on net as accounts shifted strategies in reaction to the CPI, Retail Sales Data. Option accounts have been well positioned for higher yields since April's "hot" CPI read. Heavy upside call buying in the last few sessions anticipated the reaction to this morning's in-line CPI and Retail Sales miss as underlying futures surged. First half trade favored put unwinds and vol sales as rate cut pricing projected two 25bp by year end (Sep and Dec). By midday, trade shifted to buying downside puts again as option accounts looked to fade initial reaction.
  • SOFR Options:
    • Block, 8,874 94.68/94.75/94.81/94.88 put condor 2.0
    • -8,000 SFRM4 94.68/94.75/94.81 put flys 1.0 ref 94.70
    • -5,000 SFRM5 95.00 puts, 19.0 vs. 95.695/0.24%
    • +5,000 SFRQ4 94.43/94.68 put spds, 1.0 vs. 94.90/0.10%
    • -10,000 SFRN4 94.93/95.06 2x1 put spds 0.5, ref 94.90
    • -10,000 SFRU4 94.93/95.06 2x1 put spds 3.5 ref 94.915
    • -5,000 0QU4 96.62 calls, 8.5 vs. 95.89/0.16%
    • Block, total 40,000 SFRZ4 94.37/94.62/94.87 put flys, 5.75/spilts
    • Block, +15,000 SFRH6 93.75/94.25/94.75 put flys, 4.0
    • Block, 10,000 SFRH6 93.75/94.25/94.75 put flys, 3.75/splits
    • Block, 5,000 SFRU4 94.81/94.93/95.06 call flys, 3.0
    • -10,000 SFRU4 94.56/94.62 put spds, 0.25 ref 94.92
    • +7,000 0QM4 95.37 puts, 8.0 vs. 95.61/0.38%
    • +10,000 SFRV4 94.12/94.62/94.75 put trees w/ SFRZ4 93.41/94.50/94.62 put tree, 1.75 total
    • -10,000 SFRU4 94.56/94.62 put spds, 0.25 ref 94.92
    • +7,000 0QM4 95.37 puts, 8.0 vs. 95.61/0.38%
    • +10,000 SFRV4 94.12/94.62/94.75 put trees w/ SFRZ4 93.41/94.50/94.62 put tree, 1.75 total
    • 25,750 SFRZ4 95.06/95.12/95.18/95.25 call condors 0.625-0.7 synth ref 95.125
    • Block/total 20,000 SFRZ4 94.37/94.62/94.87 put flys, 6.0 ref 95.135
    • 2,000 2QM4 96.31/96.43/96.50/96.62 call condors ref 96.08
    • Block, 4,000 SFRM5 94.00/94.50 put spds, 5.5 ref 95.615
    • Block/screen, 6,500 SFRZ4 94.75/94.87 put spds, 5.0 ref 95.13
    • Block, 5,000 0QM4 95.87/96.12/96.25 broken call flys, 3.0 vs. 95.575/0.10%
    • 2,000 0QM4 95.87/96.00 call spds vs. 3QM4 96.50/96.62 call spds
    • 4,000 SFRN4 94.68/94.75/94.81/94.87 put condors ref 94.885
  • Treasury Options:
    • Block, 2,000 TUM4 101.87/102.12 call spds vs. 101.25/101.37 put spd, 4 net iron condor
    • 5,000 FVM4 106.75/107 call spds, 3.5 ref 106-04
    • 5,000 FVM4 106.5/107 call spds vs. wk3 5Y 106.25/106.75 call spds, .5 net Jun over
    • 5,000 FVM4 106/107 call spds 19.5 ref 106-08.25.
    • Block, 34,950 wk3 FV 108/108.5 put spds 5 ref 109-09.5
    • 4,000 TYM4 109.25 puts, 31 ref 109-10
    • 4,500 FVM4 106.5/107 call spds 5 ref 105-29.5
    • 2,000 TYQ4 109.5/111.5 1x2 call spds ref 109-15.5
    • 1,700 FVM4 109 calls ref 106-09.25
    • 1,500 FVM4 104.5/105 put spds ref 105-28.5
    • 5,000 TYM 109/109.5 call spds, 16 ref 109-06
    • 2,500 TYM4 108.25/110.25 strangles, 23 ref 109-06.5
    • 2,500 TYM4 110/110.5 call spds, 6 ref 109-05.5
    • 1,500 TYM4 109.5/110.5 call spds, 15 ref 109-05.5