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Late SOFR/Treasury Option Roundup, SOFR Calls

US TSYS
  • Fixed income options saw a quiet return from an extended holiday weekend, focus on Fed Chairman Powell's semi-annual policy testimony to the House Services Panel Wednesday maorning. Short end SOFR options saw more consistent low delta call trade, discounting weaker Jun'23-Sep'23 underlying futures as a projected rate hike in one of the next three FOMC meetings gained traction. Treasury options saw modest interest in Aug'23/Sep'23 10Y calls and Jul'23 5Y puts. Salient trade includes:
  • SOFR Options:
    • Block, 5,000 SFRQ3 94.62 puts, 10.0 vs. 94.695/0.42%
    • Block, 7,000 SFRU393.75/94.25 put spds, 1.75 ref 94.68
    • Block +5,000 OQU3 96.50/97.00 call spds, 6.5 vs. 95.915/0.13%
    • Block +5,000 OQU3 96.62/97.12 call spds, 8.0 vs. 95.99/0.12%
    • +5,000 SFRU3 95.50 calls, 5.5 vs. 94.70/0.13%
    • 4,300 OQN3/OQQ3 95.87 straddle spds ref 95.95
    • 4,000 FVQ3 109.75 calls, 8 ref 107-23.5
    • 2,000 SFRU3 95.37/95.50 call spds vs. 94.75/94.87 put spds
  • Treasury Options:
    • 1,500 TYQ3 111.5/115 put spds vs. TYU3 111.5/114 put spds
    • 2,000 TYN23 114.75 calls, 3
    • 4,000 TYU3 117 calls, 18
    • 4,100 FVQ3 108.25/110/110.5 broken call trees
    • 2,500 TYQ 115/116 call spds, 8
    • 2,700 TYU3 109 puts ref 112-31.5
    • 4,900 TYQ 115 calls, 15-16
    • 5,200 TYQ 116 calls, 8-9
    • over 24,000 TYN3 112 puts, 4-5
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