Late SOFR/Treasury Option Roundup: Volume Sapped Post-NFP

Early Friday trade favored upside call structure trade in SOFR and Treasury 5Y options - carry-over speculative hedging after the Fed opened the door to a potential pause in June. The post-employment data sell-off in underlying futures dampened the appetite for rate cut insurance, however. Volumes ebbed in the second half as participant drifted to the sidelines ahead the weekend. Salient trade:

• SOFR Options:
  • Block, 12,500 OQV3 96.25/96.50/97.00 broken put trees, 5.5 ref 97.13
  • Block, 20,000 SFRN3 94.75/94.87 put spds, 2.5 ref 95.295 to -.30
  • 7,500 SFRZ3 98.00 calls, 12.5 ref 95.775
  • 6,800 SFRZ3 99.00 calls
  • Block, 13,000 SFRZ3 96.00/96.50/97.00 call fly, 3.75 net/splits ref 95.81
  • Block, 12,000 OQM3 95.75/96.00/96.25 put flys, 2.0 ref 96.80
  • Block, 5,000 SFRM3/SFRQ3 94.68/94.75 put spd spd, 0.25 net
  • Block, 20,975 SFRV3 95.00/95.25/95.37/95.62 put condors, 5.0 net ref 95.775
  • 37,450 pit/screen and 5k Block: SFRM3 94.93/95.06/95.18 call flys, 1.0-1.5 ref 94.985 to -.99
  • Block, 5,000 SFRN3 95.75/96.25 call spds 9.0 ref 95.385
  • Block, 5,000 OQN3 97.62/98.00 call spds, 8.0 ref 97.13
  • 4,250 SFRK3 95.50 calls, 1.25 ref 94.985
  • 9,000 SFRM3 95.12/95.62 call spds ref 94.985
  • 10,000 SFRU3 95.50/96.00 call spds, ref 95.41 to -.415
• Treasury Options:
  • 5,000 FVM3 111/112 call spds, 13 ref 110-07.5
  • Block, 7,750 TYU3 111.5 puts, 29 vs. 115-26/0.32%
  • 2,500 FVM3 110.25/110.75 put spds ref 110-11
  • 5,300 FVM 111.25 calls ref 110-19.75
  • Block, 10,000 FVM3 111 calls, 34.5 vs. 110-20.25/0.43%
  • 1,500 FVU3 106.5/108/109.5 put flys ref 111-10
  • 3,000 USM3 128/130 put spds