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Late SOFR/Treasury Option Roundup: Position Squaring Ahead CPI

US TSYS
Tuesday saw a concerted pick-up in option volume with Europe back from an extended Easter holiday weekend. But overall trade was mixed, two-way positioning ahead Wednesday's headline CPI inflation metric for March.
  • SOFR Options:
    • Block, -30,000 SFRK3 94.81/94.93/95.18 put trees, 14.0-14.5 ref 95.015-.01
    • Block, 9,000 SFRU3 93.75/94.25/94.75 put flys, 7.0 ref 95.275
    • +8,000 SFRM3 94.87/95.12 2x1 put spds, 8.0-8.5
    • Block, total 10,000 SFRK3 95.06 puts 16.0 ref 95.02
    • -3,000 SFRZ3 94.00/94.25/94.75 2x3x1 put flys ref 95.69
    • +14,000 SFRM3 94.93/95.06/95.18 put flys, 1.5 ref 95.03
    • 6,500 SFRU3 94.75/94.87/95.37/95.50 iron condors ref 95.30
    • over 10,000 SFRJ3 95.25 calls
    • over 7,500 OQK3 98.00 calls
    • 2,000 SFRJ3 95.06/95.12/95.18/95.31 call condors ref 95.025
    • 2,000 SFRN3 94.62/94.87/95.37/95.62 iron condors
    • 2,000 OQK3 95.75 puts, 3.0 ref 96.615
    • 2,000 OQJ3 96.87 calls ref 96.62
    • 2,500 SFRZ3 94.87/95.12/95.87/96.12 iron condor
    • 1,500 SFRU3 94.62/94.75/94.87 call flys, ref 95.315
    • 1,750 SFRM3 94.25/94.75/95.00 broken put flys, ref 95.04
    • Block, 3,500 SFRK3 97.50 calls, .5 ref 95.04
    • Block, 2,500 SFRM3 94.25/94.75/95.00 put flys, 6.5 ref 95.04
    • Block, -5,000 SFRU3 94.75/94.87 put spds vs. SFRU3 95.37/95.50 call spds, iron condor for 0.75 net cr
  • Treasury Options:
    • -2,000 FVK3 109.75 puts, 33
    • Block, 5,000 TYK/TYM 114.5 call spd on 3x2 ratio, 4 net/June sold over
    • 2,500 TYM3 114.5/117 call over risk reversals 5 net ref 115-20
    • 1,500 FVK109.25/110 put spds
    • 3,000 FVK3 108.75 puts, 5 ref 110-02.75
    • 2,000 TYK3 114/117.5 combos ref 115-19.5
    • over 6,500 wk2 10Y 114.5 puts, 9-10 ref 115-19.5
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