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Late SOFR/Treasury Option Roundup: SOFR Underlying Pares Support

US TSYS
Downside put buying gained momentum in the second half (note the 40k Jun'23 SOFR put fly) as accounts faded the bank-panic driven safe haven support well before underlying futures pared first half gains: SFRU3 at 95.78 in late trade are +0.020 vs. 96.11 early session high! Salient trade includes:
  • SOFR Options:
    • over 40,000 (pit/screen) SFRM3 94.37/94.56/94.75 put flys, ref 95.41
    • Block, 5,000 SFRU3 94.12/94.62 put spds, 6.0 ref 95.85
    • Block, 20,000 SFRU3 95.00/95.50 put spds, 20.5 vs. 96.005/0.15%
    • Block, 10,000 SFRK3 95.00/95.25 put spds, 10.0 ref 95.595
    • Block, 2,500 OQM3 94.50 puts, 1.0 ref 97.045
    • over 14,800 SFRZ3 96.25/96.75 call spds ref 96.38 -.375
  • Treasury Options:
    • Block, -7,500 TYK3 118/119 call spd w/ 118.5/119.5 call spd strip, 27
    • Block, 10,000 FVK3 114 calls, 24.5 ref 111-00
    • +11,000 TYK 114 puts 27 vs. 116-30
    • 2,000 TYM3 109/111 put spds 8 ref 116-30.5
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