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Overnight SOFR/Treasury Option Roundup

US TSYS
Overnight trade includes better put volumes in SOFR options, early buys evaporated as underlying climbed; Tsy options see better call interest on lighter volumes.
  • SOFR Options:
    • 2,000 SFRZ2 96.75 calls, cab
    • 4,000 SFRZ2 94.25 puts, ref 95.645
    • Block, 4,000 SFRZ2 95.56/95.68 call spds, 0.75 ref 95.48
    • 1,850 SFRZ2 95.43/95.56 put spds ref 95.48
    • 5,000 SFRF3/SFRG3/SFRH3 94.93/95.06 put spd strip ref 95.145
    • 3,300 SFRG3 95.00/95.12 put spds, ref 95.14
    • 8,000 SFRZ2 95.50/95.56 call spds vs. 95.31/95.37 put spd ref 95.48
    • 3,200 SFRZ2 95.68/95.75 call spds, ref 95.4775
    • 6,500 SFRM3 94.37/94.50/94.75 put flys, ref 95.145
    • 10,000 SFRM3 94.50 puts, 1.5 ref 95.145
  • Treasury Options:
    • 3,300 TYG 113.5/115 call spds
    • Block, +20,000 TYF 114/116 call spds, 29 vs. 112-21/0.21%, another 13k on screen (unwind)
    • 3,400 TYZ 112.5 calls, 33
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