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Late SOFR/Treasury Option Roundup, Two-Way SOFR Puts

US TSYS
Despite a strong rebound and robust volumes in underlying rate futures Friday, it's difficult to draw broad conclusions on the muted overall option flow. Most option desks appeared to be plying the sidelines ahead the weekend (and month-end allocation) not to mention next week Wednesday's FOMC policy announcement.
  • Two trades of note, however, were in SOFR put options. Jun'24 94.68 puts at 5.0 (vs. 94.90/0.29%) were bought in small lots for a total over 45,000 in the first half. Prior to that, was a sale of over -40,000 (Block, screen, pit) SFRM3 94.37/94.50/94.56/94.68 put condors at 2.0 ref 94.90.
  • Heavy open interest in all four strikes from 188k low to 377k high, put the sale likely a closer as the account looks for the Fed's rate hike to evaporate after next Wed's likely 25bp move.
  • SOFR Options:
    • +7,000 SFRZ3 94.25/95.25 put spds, 28.0
    • +45,000 SFRM3 94.68 puts, 5.0 vs. 94.90/0.29%
    • Block/pit, -40,000 SFRM3 94.37/94.50/94.56/94.68 put condors, 2.0 ref 94.895 to -.90
    • 2,000 SFRZ3 96.00/96.50/97.00/97.50 call condors ref 95.53
    • +5,000 SFRU3 95.00/95.50/96.00 call flys, 5.5
    • 5,000 SFRK3 94.93/95.00 call spds, ref 94.915
    • Block/screen, 8,700 SFRM3 94.68 puts, 4.75 vs. 94.90/0.29%
  • Treasury Options:
    • 2,750 TYM3 114/114.5 put spds, 11 ref 115-10.5
    • 2,000 FVM3 108.75/110.75 strangles, 44.5
    • 2,500 USM3 125.5/128 2x1 put spds,
    • over 5,000 TYM3 116 calls, 45 last
    • 1,400 TYM3 112.75/117.25 strangles, 35 ref 115-08.5
    • 2,500 TYM3 110/111 put sprd ref 115-05
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