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Overnight SOFR/Treasury Option Roundup

US TSYS
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Carry-over SOFR Sep vol seller from Thursday, shifts down strike to 95.37 from 95.50. Otherwise modest two-way trade overnight w/better downside 5- and 10Y put volume as underlying pares small portion of Thu's post-CPI rally.
  • SOFR Options:
    • Blocks, -11,250 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0)
    • 4,000 SFRZ2 95.75/95.87 call spds
  • Treasury Options:
    • 8,200 TYZ 109 puts, 3 ref 112-06.5
    • 6,250 TYZ 109.25 puts, 3 ref 112-06.5
    • 5,000 TYZ 113/114 call spds, 13 ref 112-11
    • 3,500 FVZ 108.5 calls ref 107-28
    • 1,300 FVZ 109/110 call spds, ref 107-25
    • 2,000 TYZ 110/111 put spds, 8 ref 95.485
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Carry-over SOFR Sep vol seller from Thursday, shifts down strike to 95.37 from 95.50. Otherwise modest two-way trade overnight w/better downside 5- and 10Y put volume as underlying pares small portion of Thu's post-CPI rally.
  • SOFR Options:
    • Blocks, -11,250 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0)
    • 4,000 SFRZ2 95.75/95.87 call spds
  • Treasury Options:
    • 8,200 TYZ 109 puts, 3 ref 112-06.5
    • 6,250 TYZ 109.25 puts, 3 ref 112-06.5
    • 5,000 TYZ 113/114 call spds, 13 ref 112-11
    • 3,500 FVZ 108.5 calls ref 107-28
    • 1,300 FVZ 109/110 call spds, ref 107-25
    • 2,000 TYZ 110/111 put spds, 8 ref 95.485