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Late SOFR/Treasury Option Roundup, Hedging a 25Bp Hike

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Light option volumes was due to most of Europe out for May-Day bank holiday Monday. Early SOFR Call structure buying ebbed in the second half while Jun'23 SOFR options saw a pick-up in limited downside put condors as a jump over 50.0 to 53.2 in April ISM Mfg PMI data, underscoring a likely 25bp rate hike this Wednesday.

  • SOFR Options:
    • Block, +10,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.75 ref 94.855
    • +25,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.5 ref 94.855 to -.86
    • 2,000 SFRM3 94.93/95.12 call spds ref 94.89
    • Block, +10,000 SFRZ3 96.50/97.50 call spds, 13.0 vs. 95.50/0.10%
    • +2,000 SFRM3 97.00/97.12/99.50/99.62 call condors
    • 1,000 SFRM3 94.75/95.00/95.12 broken put flys, ref 94.915
    • 2,000 SFRN3 94.50/94.93/95.00/95.18 put condors ref 95.155
  • Treasury Options:
    • +4,000 USM 128 puts, 54 ref 130-02
    • 2,100 TYM3 112.25 puts, 8 ref 114-30 to -30.5
    • 2,500 FVM3 110.5/111.25 call spds ref 109-22 to -22.5
    • 2,000 FVM3 112/113 call spds, 5.5 ref 109-25.5
    • 3,000 TYM3 115.75/116.5 call spds ref 115-12
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Light option volumes was due to most of Europe out for May-Day bank holiday Monday. Early SOFR Call structure buying ebbed in the second half while Jun'23 SOFR options saw a pick-up in limited downside put condors as a jump over 50.0 to 53.2 in April ISM Mfg PMI data, underscoring a likely 25bp rate hike this Wednesday.

  • SOFR Options:
    • Block, +10,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.75 ref 94.855
    • +25,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.5 ref 94.855 to -.86
    • 2,000 SFRM3 94.93/95.12 call spds ref 94.89
    • Block, +10,000 SFRZ3 96.50/97.50 call spds, 13.0 vs. 95.50/0.10%
    • +2,000 SFRM3 97.00/97.12/99.50/99.62 call condors
    • 1,000 SFRM3 94.75/95.00/95.12 broken put flys, ref 94.915
    • 2,000 SFRN3 94.50/94.93/95.00/95.18 put condors ref 95.155
  • Treasury Options:
    • +4,000 USM 128 puts, 54 ref 130-02
    • 2,100 TYM3 112.25 puts, 8 ref 114-30 to -30.5
    • 2,500 FVM3 110.5/111.25 call spds ref 109-22 to -22.5
    • 2,000 FVM3 112/113 call spds, 5.5 ref 109-25.5
    • 3,000 TYM3 115.75/116.5 call spds ref 115-12