Late SOFR/Treasury Option Roundup, Puts are Back

FI options segued from better Treasury option trade overnight mostly 5- and 10Y calls, to downside puts through the session as underlying futures pared morning gains. Short end rates weaker as as rate hike projections through year end firmed slightly, July running around 94% while September through December fully priced in at a 25bp hike.

• SOFR Options:
  • +8,000 SFRZ3 93.87/94.00/94.12/94.25 put condors, 1.25
  • +20,000 SFRZ3 94.12/94.18 put spds, 0.75
  • -1,000 SFRU3 94.62 straddles, 13.5
  • Block, 5,000 SFRU3 94.50/95.00/95.50 put flys, 11.0 vs. 94.62
  • Block, 4,000 SFRH4 96.75/97.50/98.25 call flys, 2.0 ref 95.065
  • 1,500 SFRV3 94.68 puts ref 94.71
  • 1,000 SFRQ3 94.75/95.00 call spds
• Treasury Options:
  • 3,650 TYU3 111.5/114.5 strangles, 55 ref 112-28.5
  • 3,000 FVU3 105.5/106.5 put spds, 9 ref 107-27.75
  • 5,000 FVU3 108.25 calls, 32.5 ref 107-28
  • 5,000 TYQ3 111.5/112 put spds, 3 ref 112-31
  • 2,000 TYQ3 110.75/111.25/111.75/112.25 put condors, ref 113-00
  • 2,000 TYQ3 113.75/114 call spds ref 113-01.5
  • 5,200 TYQ3 114 calls, 3 ref 113-01
  • 2,200 TYQ3 113.25 calls, 9 ref 112-28.5
  • 2,500 FVU3 109.5/110/111/111.5 call condors ref 107-25.25
  • 1,000 TYQ3 113.5/114.5 call spds ref 113-24