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SOFR/Treasury Option Roundup

US TSYS
Relatively mixed SOFR option trade overnight, segued towards two-way put structures prior to underlying futures selling off. Treasury options saw some consolidation in 10Y puts well ahead of the early session close.
  • SOFR Options
    • Block, 13,000 SFRN3 95.00 puts. 40.0 vs. 94.745/0.66%
    • Block/screen, 19,000 SFRN3 95.00 puts, 37.5 vs. 94.775/0.64%
    • Block, +5,000 SFRN3 94.62/94.75/94.87 put flys, 2.0
    • Block, 10,000 SFRH4 97.50/98.50/99.00 broken call flys, 6.0 net ref 95.44
    • +6,000 SFRZ3 94.43/94.56/94.81/94.93 put condors, 3.5
    • Block/screen -8,000 SFRU3 94.00/94.50, 9.0
    • Blocks, -10,000 SFRU3 94.00/94.50 put spds, 9.0, 5k vs. 94.78/0.17%
    • 9,500 SFRZ3 96.00/97.00 call spds ref 95.125
    • 4,000 SFRM3 94.50/94.56 put spds ref 94.7275
    • 11,000 SFRM3 94.68/94.75/94.81/94.87 put condors, ref 94.705
    • 1,000 SFRM3 94.62/94.75/94.87 put flys ref 94.70
    • 1,000 SFRU3 94.87/95.12/95.37 call flys ref 94.80
    • 2,000 SFRU3 94.25/94.50/94.62 broken put trees ref 94.80
    • 2,000 OQM3 95.62/95.75 put spds ref 95.92
  • Treasury Options:
    • 2,000 TYU3 110/113 3x2 put spds ref 113-04.5
    • 6,000 TYU3 110.5/112.5 put spds, 46
    • 5,000 TYM3 112 straddles, 29
    • over 9,900 FVN3 109 calls, 35-36
    • Block, 3,000 TUU3 102.62 calls, 44 ref 102-18.25
    • Block, -22,000 TYN3 112/113 put spds, 23 ref 113-03.5
    • 10,000 wk3 TY 117 calls, ref 113-17.5
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