Late SOFR/Treasury Option Roundup: Positioning Ahead Friday's NFP

Two-way trade carried over from overnight, positioning ahead of Friday's July employment data. Underlying Tsy and SOFR futures mildly higher while rate hike projections through year-end remain muted.

• SOFR Options:
  • Block, 5,000 SFRZ3 94.06/94.18 put spds, 1.0 ref 94.625
  • 5,000 SFRV3 94.75/95.25 call spds
  • 2,000 SFRH4 93.75/94.00 put spds, 1.5 ref 94.84
  • 1,000 2QQ3 96.87/97.12 3x2 call spds ref 96.365
  • 3,000 OQU3 95.25/95.62 put spds vs. 2QU3 96.00/96.37 put spds
  • 1,500 OQQ3 95.12/95.50 1x2 put spds vs. 2QQ3 96.31 puts
• Treasury Options:
  • 5,000 FVU3 104.75/106 put spds
  • over 9,000 TYU3 114.5 calls, 5 last ref 111-14.5
  • 2,300 FVZ3 105.5 puts, 36 ref 107-12.75
  • 3,000 TYU3 108/109 put spds, 5 ref 111-14
  • 2,000 USU3 119 puts, 14 ref 124-16
  • over 10,000 TYU3 109 puts, 10 last
  • over 5,000 TYU3 109/110 put spds, 9 last ref 111-17
  • Block 2,100 TUU3 101 puts, 4.5 ref 101-17
  • 2,000 FVU3 106.5 puts, 29.5 ref 106-25.25
  • over 3,000 TYU3 112 calls, 33 last
  • 1,500 TYU3 113 calls ref 111-08
  • 1,500 USV3 116/118/119/121 put condors ref 124-13
  • over 5,100 FVV3 108 calls, 35.5 last
  • over 2,800 FVU3106.5 puts, 35 last
  • over 2,500 FVU3 107 calls, 31.5 last