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Late SOFR/Treasury Option Trade

US TSYS

Robust option trade Friday, despite the Veterans Day bank holiday hampering underlying futures volumes (TYZ2<650k by the close). Mixed flow appeared to favor downside put buying in SOFR and Treasury 10Y options, carry-over vol selling in the former (-17,750 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0).Salient trade:

  • SOFR Options:
    • Block, -10,000 SFRZ2 97.00/Blue Nov 97.75 call spd, 0.5, steepener/Blues sold over
    • Block, 20,000 SFRM3 95.25/95.75 call spds, 14.25/splits ref 95.155
    • Block, 20,000 SFRH3 95.00/95.50 put spds, 30.0-30.5 ref 95.13
    • Block, +5,000 SFRM3 94.75/95.50 put spds, 38.0 ref 95.145
    • Blocks, total +40,000 SFRH 95.25/95.5 put spds, 40.0 ref 95.12
  • Treasury Options:
    • 2,500 TYZ 114 calls, 5 ref 112-06.5
    • 8,200 TYZ 109 puts, 3 ref 112-06.5
    • +7,500 TYZ 109.25 puts, 3 ref 112-06.5
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Robust option trade Friday, despite the Veterans Day bank holiday hampering underlying futures volumes (TYZ2<650k by the close). Mixed flow appeared to favor downside put buying in SOFR and Treasury 10Y options, carry-over vol selling in the former (-17,750 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0).Salient trade:

  • SOFR Options:
    • Block, -10,000 SFRZ2 97.00/Blue Nov 97.75 call spd, 0.5, steepener/Blues sold over
    • Block, 20,000 SFRM3 95.25/95.75 call spds, 14.25/splits ref 95.155
    • Block, 20,000 SFRH3 95.00/95.50 put spds, 30.0-30.5 ref 95.13
    • Block, +5,000 SFRM3 94.75/95.50 put spds, 38.0 ref 95.145
    • Blocks, total +40,000 SFRH 95.25/95.5 put spds, 40.0 ref 95.12
  • Treasury Options:
    • 2,500 TYZ 114 calls, 5 ref 112-06.5
    • 8,200 TYZ 109 puts, 3 ref 112-06.5
    • +7,500 TYZ 109.25 puts, 3 ref 112-06.5