Late SOFR/Treasury Option Roundup: SOFR Put Play Picks Up

Generally modest volume with a couple notable exceptions were reported Friday. Salient Treasury option trade involved a two Jun'23 10Y call spread sales, position unwinds (-13.5k TYM 112/114 call spds and over 36k TYM 111.5/113.5 call spds from 27-28) as underlying TYM3 futures see-sawed to session high of 114-27 in the second half. Conversely, SOFR options saw better put trade on net as short end futures held 0.030 weaker to steady out to Dec'23 as implied rate cuts remain well below last week's highs (Dec'23 cumulative 44.1bp vs. over 100.0bp last week). Net short vol put tree buy of 40k SFRK3 94.81/94.93/95.18 put trees noted after midday. Highlights:

• SOFR Options:
  • Blocks, +40,000 SFRK3 94.81/94.93/95.18 put trees, 11.0-11.5 ref 95.11
  • Block, total 10,000 SFRK3 95.00/95.50 2x1 put spds, 25.0 ref 95.10
  • 2,500 SFRJ3 95.31/95.43/95.50 2x2x1 2x2x1 broken call trees ref 95.095
  • Block, 19,250 SFRM3 94.62/95.75 call spds, 40.0 vs. 95.095/0.65%
  • +2,000 SFRM3 95.25/95.50 call spds, 5.0 vs. 95.135
  • -3,000 SFRM3 94.75/95.00 put spds, 9.0 ref 95.11
  • +5,000 OQJ3 95.62/95.93 2x1 put spds, 2.5
  • -2,500 SFRH4 96.00 straddles, 129
  • -1,000 SFRM4 95.37/96.37/97.37 iron flys, 73.5
  • +5,000 SFRU3 94.00/94.50 3x2 put spds, 6.5
  • 3,000 SFRM3 95.00/95.50/96.00 2x5x3 call flys ref 95.10
  • 2,600 SFRM3 94.50/95.00/95.50 call flys, ref 95.09
  • 2,000 SFRJ3 95.18 calls ref 95.09
  • 5,000 SFRM3 94.81/94.93/95.06 put flys ref 95.09
  • 2,000 SFRJ3 95.00/95.06/95.12 put flys, ref 95.095
  • 1,000 SFRJ3 95.00/95.18/95.37 call flys, ref 95.10
  • 2,000 SFRM3 94.37/94.62/94.87/95.12 put condors ref 95.13
• Treasury Options:
  • 2,500 TYM3 110/112 2x1 put spds, 9 ref 114-24
  • -13,500 TYM3 112/114 call spds, 1-20 ref 114-23.5
  • -36,000 TYM3 111.5/113.5 call spds, 1-27 to 1-28 ref 114-21.5 to -24.5
  • Over 6,500 FVM3 112/114 call spds ref 109-05.75 to -04.75