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SOFR/Treasury Option Roundup


Decent volume on sporadic trade Friday, call trade two-way while puts structures saw better buying as underlying rates sold off ahead next Wednesday's FOMC policy annc. Salient trade:

  • SOFR Options:
    • Block, +15,000 SFRM2 94.50/94.75/95.25/95.50 put condors, 8.5
    • March SOFR spd block posted at 1123:42ET, Put spd sold 8.5 over call spd ref 95.15:
      • -20,000 SFRH3 95.00/95.25 put spds 12.0 vs.
      • +20,000 SFRH3 95.37/95.50 call spd, 3.5
    • Block, 10,000 SFRH3 95.5/95.75/96.00 call flys, 2.5 vs. 95.18/0.05%
    • Block, total 20,000 SFRH3 94.75/95.50 put spds, 35.5 ref 95-18
    • Block, 2,000 Green Nov 96.75/96.87 call spds, 1.0 vs. 96.235/0.05%
    • Block, 2,500 SFRH3 94.12/94.62 put spds, 5.0 vs. 95.165/0.14%
    • 1,500 SFRJ 94.25/94.50/95.00 put flys
    • Block total 9,000 SFRH3 95.50/95.62 put spds, 9.25 on splits
  • Treasury Options:
    • 5,800 TYZ 109 puts, 29 ref 110-30.5
    • Block/screen, 20,000 TYZ2 109.25 puts, 31-32
    • Block, -10,000 TYZ2 113.5 calls, 17 ref 110-28.5
    • 5,000 FVZ2 106.75/107.75/108.5 broken put flys

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