Late SOFR/Treasury Options Roundup

Trade volumes were much improved Tuesday, option flow gaining momentum as underlying futures continued to extend session highs in the second half (futures volume nearly twice that on Monday's close). Call structures dominated the second half as implied rate hikes in the near term receded, and rate cuts by year end moved back to mid-April levels, Dec'23 just over -51.0bp at 4.370%. Salient trade:

• SOFR Options:
  • -20,000 SFRZ3 96.50/97.50 1x2 call spds from 1.0-0.50, 2-legs over
  • +10,000 SFRZ3 95.75/96.50/97.25 call flys vs. SFRZ 94.00/94.62 put spds, 0.0 net
  • Block, 5,000 SFRM4 93.50/94.50/95.50 1x4x2 put fly, 14.5 net ref 96.59
  • +2,500 SFRZ3 95.50/96.00/96.50 call flys, 5.0 ref 95.635
  • 2,000 SFRN3 94.93/95.12/95.18/95.43 call condors, ref 95.21
  • 4,000 SFRK3 95.06/95.18/95.31/95.43 put condors, ref 94.935
  • 2,000 OQK3 96.62/96.75/96.87/97.00 call condors ref 96.545
  • 2,000 SFRK3 94.87/95.00 put spds vs. SFRK3 95.43 calls ref 94.935
  • Block, 12,000 OQM3 95.87/96.25 put spds, 11.0 ref 96.525
  • Blocks, total 14,500 OQK3 96.00 puts, 2.5-3.0 ref 96.53 to -.515
• Tsy Options:
  • +7,500 TYN3 113-120 call over risk reversal, 13 net ref 116-18
  • +31,000 TYM 119.5 calls, 12 ref 115-23.5 to -24
  • 2,000 USM3 126/128/130 put flys, 17 ref 132-06
  • 2,600 TYM3 117/118/119 call flys, 1 net, ref 115-19.5
  • over 5,400 TYM3 117 calls, 32 ref 115-16
  • Block, 10,740 wk4 5Y 110.5/111 call spds 4 ref 109-28.5
  • Block, 5,000 wk4 5Y 108.25 puts, .5 ref 109-29
  • 6,800 FVM3 108.5/109.5 put spds 25.5 ref 109-28.25
  • 2,000 TYM3 114.5/116.5 call spds, 56 ref 115-14.5
  • 2,500 FVM3 111/112 call spds, ref 109-28.75
  • over 8,200 wk4 TY 116 calls, 11 ref 115-14.5
  • 7,800 TYM3 116.5 calls, 34-36 ref 115-06.5
  • 2,500 TYM3 115 puts, 54 ref 115-12.5
  • 1,500 TYM2 117.5/119.5 call spds ref 115-05.5
  • 3,000 TYM3 113.5 puts, 25 ref 115-06