SOFR/Treasury Option Roundup

Better low delta put and put spread trade noted upon US FI markets return from extended holiday weekend, gradual pick-up in rate-hike pivot away from more hawkish stance.

• SOFR Options:
  
  • -6,000 SFRU3 94.75/95.75 strangles, 15.5
  • Block, 4,000 SFRJ3 95.25/95.43 call spds 1.5 over SFRJ 94.81 puts
  • 2,600 SFRU/SFRZ2 94.50/95.00/95.50 put fly spds
  • Block, 10,000 SFRM3 94.50/94.75 put spds .25 over OQM3 95.00 puts
  • Broken call tree w/ put fly strip 1.0 over put spd package:
  • +25,000 SFRJ3 95.06/95.12/95.25 broken call trees w/
  • +25,000 SFRJ 94.87/95.00/95.12 put flys vs. SFRJ3 94.87/94.93 put spd
  • Block, 25,000 SFRM3/SFRU3 94.68/94.75 call spd strip, 2.0 total
  • Block, 5,000 SFRZ3 94.68/94.75 put spds, 1.0 ref 95.62
  • 3,000 SFRH3 94.75/95.00/95.25/95.50 call condors, ref 95.145
  • Block, 1,250 SFRM3 94.62/94.75/94.87 put flys, 0.75 ref 95.09
  • Block, 2,000 SFRU3 94.62/94.75/94.87/95.00 put condors, 2 net ref 95.255
  • Block, 10,000 SFRM3 94.50 puts .25 over OQM3 94.75 puts
  • 4,000 SFRH3 95.25/95.43 call spds ref 95.14
  • 5,750 SFRU3 95.00/95.50/96.00 call flys
• Treasury Options:
  • 2,700 TYG 113/114 put spds, 15 ref 114-20.5
  • 3,000 FVG 109.5 puts, 29.5 ref 109-12.5
  • +5,500 TYG 114 puts, 19 ref 114-28
  • 23,000 wk3 10Y 113.25/114.25 put spds, 15 ref 114-16.5
  • over 7,600 wk3 TY 116 calls ref 114-18
  • 4,700 TYG 114.25/116.25 call spds ref 114-18
  • 2,500 TYG 115.5 calls, 14 ref 114-18
  • Over 8,500 wk3 TY 114 puts, 15
  • 3,500 TYH 115.5 calls, ref 114-19
  • over 6,800 TYG 116 calls, 8-10 ref 114-21.5
  • over 6,400 TYG 114.25 puts, 26-30
  • 5,000 TYG 115.25 calls, 23 ref 114-23.5