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Free AccessLate SOFR/Treasury Option Roundup: Puts Pick Up in Second Half
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
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.