Late SOFR/Trewasury Option Roundup: Mixed, Consolidative

Mixed option trade Tuesday as underlying reversed early weakness, flow consolidative, tending toward vol selling into month end.

• SOFR Options:
  • Block, -10,000 SFRZ3 94.25/95.25 strangles 21.0 over SFRU3 94.25/95.75 strangles
  • Block, 5,000 SFRZ3 94.25/95.25 strangles, 32.0 ref 94.76
  • Block, 6,000 2QH3 96.50 puts, 22.0 ref 96.325
  • -20,000 SFRZ3 94.00/94.50 put spds, 14.25-14.0
  • Block, 20,000 SFRU3 94.37/95.06/95.62 broken put flys, 8.5 ref 94.59 -.595
  • Block, -20,000 SFRU3 94.00/94.25/94.31/94.62 put condors, 8.75 on splits ref 94.585
  • +5,000 SFRZ3 94.25/94.50 put spds, 9.25
  • -10,000 OQH3 95.12/95.37 call spds vs. 95.065, 6.5
  • 7,500 SFRJ3 94.50 puts, ref 94.635
  • 3,750 SFRU3 96.00 calls, 1.5 ref 94.575
  • 6,000 OQH3 95.75 calls, cab
  • 2,000 SFRM3 94.75/94.87/95.00 put flys ref 94362
• Treasury Options:
  • 5,400 FVJ3 101.25 puts, .5 ref 107-00.75
  • 7,500 TYJ3 110 puts, 25-26 ref 111-15.5 to -15, total over 22k from 23-28
  • -10,000 TYJ3 110.5/111 put spds, 12
  • -10,000 wk2 TY 110 puts, 9 vs. 111-20/0.08%
  • over 11,500 wk/midcurve TY 110.75 puts, 3
  • 10,000 wk/midcurve TY 112 calls, 5
  • 6,000 TYJ3 110.5/111.5 put spds vs. TYJ3 113 calls, 3 net ref 111-17
  • 2,000 FVJ3 105/106 put spds, ref 106-31.25
  • 2,200 FVJ3 108.75 calls, 7.5 ref 107-01.25