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Late SOFR, Treasury Option Roundup: More Puts

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Rate hike risk hedging continued Tuesday, Treasury options joining SOFR options after better upside call buying on Monday. Decent volume in Feb'23 and Mar'23 Tsy 10Y puts, put spreads reported (over 31,000 TYG 114 puts, over 22,000 TYH3 111/112 put spds 4-6). Highlight SOFR trade includes:

  • SOFR Options:
    • Block, 2,500 SFRZ3 94.75/95.12/95.50 4x9x5 put flys, 45.0 net ref 95.605
    • +10,000 SFRJ3 94.87/95.00/95.12/95.18 put condors, 0.5 over 95.37/95.50 call spds ref. 95.09
    • 2,000 SFRM3 94.93/95.12 2x1 put spds, ref 95.095
    • Block, -8,000 OQH3 95.31/95.62 put spds, 3.0 ref 96.125
    • 4,000 2QM3 96.25/96.75 put spds, ref 97.16
    • Block, 4,500 SFRM3 94.68/94.75 put spds 0.75 vs.95.065/0.05%
    • Block, 2,500 OQM3 95.00/95.50/96.00 2x3x1 put flys, 2.5 net ref 96.625
    • 2,000 SFRJ3/SFRM3 95.00 put spds ref 95.095
    • 3,900 OQK3 95.50 puts 2.5 ref 96.63
    • 1,500 SFRZ3 94.62/94.81 put spds, ref 95.61
    • 1,500 SFRZ3 94.75/95.00/95.25 put flys ref 95.61
    • Block, 2,500 SFRM3 94.68/94.75/94.81 2x1x1 put trees, 2.0 ref 95.095
  • Treasury Options:
    • Update, over 31,000 TYG 114 puts, latest at 3 ref 114-30.5
    • More TYH3 111/112 put spds, over 22,000 from 4-6
    • 2,000 TYH3 115 straddles, 152 ref 114-29
    • 6,000 TYG3 113.75/114.25 put spds, 12 ref 114-22
    • -2,000 TYG 114/114.5 put spds, 12 ref 114-16.5/0.22%
    • 1,400 FVJ3 109.5/110.5 strangles, ref 110-00
    • over 15,000 TYH3 111/112 put spds, 4-5 ref 114-29.5
    • 4,400 TYG3 114 puts, 5 ref 114-29.5
    • over 10,000 wk1 TY 116.5/117 call spds, 3-4 ref 114-28 -27.5
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Rate hike risk hedging continued Tuesday, Treasury options joining SOFR options after better upside call buying on Monday. Decent volume in Feb'23 and Mar'23 Tsy 10Y puts, put spreads reported (over 31,000 TYG 114 puts, over 22,000 TYH3 111/112 put spds 4-6). Highlight SOFR trade includes:

  • SOFR Options:
    • Block, 2,500 SFRZ3 94.75/95.12/95.50 4x9x5 put flys, 45.0 net ref 95.605
    • +10,000 SFRJ3 94.87/95.00/95.12/95.18 put condors, 0.5 over 95.37/95.50 call spds ref. 95.09
    • 2,000 SFRM3 94.93/95.12 2x1 put spds, ref 95.095
    • Block, -8,000 OQH3 95.31/95.62 put spds, 3.0 ref 96.125
    • 4,000 2QM3 96.25/96.75 put spds, ref 97.16
    • Block, 4,500 SFRM3 94.68/94.75 put spds 0.75 vs.95.065/0.05%
    • Block, 2,500 OQM3 95.00/95.50/96.00 2x3x1 put flys, 2.5 net ref 96.625
    • 2,000 SFRJ3/SFRM3 95.00 put spds ref 95.095
    • 3,900 OQK3 95.50 puts 2.5 ref 96.63
    • 1,500 SFRZ3 94.62/94.81 put spds, ref 95.61
    • 1,500 SFRZ3 94.75/95.00/95.25 put flys ref 95.61
    • Block, 2,500 SFRM3 94.68/94.75/94.81 2x1x1 put trees, 2.0 ref 95.095
  • Treasury Options:
    • Update, over 31,000 TYG 114 puts, latest at 3 ref 114-30.5
    • More TYH3 111/112 put spds, over 22,000 from 4-6
    • 2,000 TYH3 115 straddles, 152 ref 114-29
    • 6,000 TYG3 113.75/114.25 put spds, 12 ref 114-22
    • -2,000 TYG 114/114.5 put spds, 12 ref 114-16.5/0.22%
    • 1,400 FVJ3 109.5/110.5 strangles, ref 110-00
    • over 15,000 TYH3 111/112 put spds, 4-5 ref 114-29.5
    • 4,400 TYG3 114 puts, 5 ref 114-29.5
    • over 10,000 wk1 TY 116.5/117 call spds, 3-4 ref 114-28 -27.5