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Late SOFR/Treasury Option Roundup: Puts Pick Up in Second Half

US TSYS

Better overall call volume overnight carried over to the NY session with underlying futures trading firmer in the short end firmer as markets anticipate 25bp hike from the FOMC on Wednesday. Chasing direction, calls segued to puts in the second half as underlying futures looked to test early overnight lows.

  • SOFR Options:
    • Block, 5,000 SFRU3 94.00/94.50 put spds, 6.0 ref 95.805
    • Block, 6,000 SFRM3 95.00/96.00 1x2 call spds, 4.0 ref 95.54
    • Block, 8,000 SFRM3 94.68/94.75 put spds 1.50 ref 95.54
    • Block, 8,000 SFRM3 94.62/94.75 put spds 3.25 ref 95.54
    • Block, 20,000 SFRZ3 94.50 puts, 14.0 vs. 96.21/0.15%
    • Block, 5,000 SFRZ3 95.00/95.50 3x2 put spds, 10.5 vs. 96.04 to -.06/0.03%
    • Block, 20,000 SFRZ3 94.50 puts, 14.0 vs. 96.21/0.15%
    • Block, 15,000 SFRM3 96.00/97.00 call spds, 20.5-20.0 ref 95.63
    • 19,000 SFRJ3 95.18/95.43/95.68 call flys, 11.0 ref 95.64 to -.615
    • 2,000 2QM3 96.68/96.87/96.93/97.12 call condors
    • 2,000 SFRK3 95.00/95.502x1 put spds ref 95.70
    • 5,000 SFRJ3 95.43 calls 55.5 ref 95.615 to -.645
    • 4,000 SFRJ3 94.62/94.87/95.12 put flys ref 95.675
    • 2,000 3QM3 97.50/98.00 call spds ref 97.03
    • 4,500 OQJ3 96.75/97.00 call spds, ref 96.94
    • 2,000 OQM3 98.00/99.00 call spds, ref 96.88
    • 4,000 SFRM3 94.12/94.37 put spds vs. SFRN3 94.00/94.12 put spds
  • Treasury Options:
    • over 9,000 FVJ3 108.25 puts, 7.5 ref 109-20.5 to -20.75
    • over 18,800 FVJ3 108 puts, 4.5 ref 109-20.5
    • over 13,600 FVJ3 108.5 puts, 10 ref 109-20.25
    • 6,500 FVK3 111/112 call spds, 32 ref 110-02
    • 3,000 USK3 123/124/126/127 put condors
    • 3,000 TYJ 117/117.5 call spds, 10 ref 116-19
    • Over 13,000 TYJ3 116.25/116.75 call spds, ref 115-24.5 to -06.5

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