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SOFR/Treasury Option Roundup

US TSYS
  • Modest overnight option volumes leaning towards downside puts. Underlying SOFR and Treasury futures weaker, near overnight lows (TYU3 -13 at 113-14), curves steeper (2s10s +.988 at -80.464).
  • SOFR Options:
    • 1,500 SFRZ3 94.75/94.93/95.12 put flys, ref 95.025
    • Block, 4,000 SFRN3 94.56/94.81 put spds, 11.0 ref 94.775
    • 1,000 SFRQ3 94.62/94.75 put spds ref 94.76
    • 1,000 SFRU3 94.43/94.56 put spds vs. 95.00/95.12 call spds
  • Treasury Options:
    • over 6,800 TYN3 112.5 puts, mostly at 26 ref 113-16.5
    • 1,700 FVN3 107.5 puts, 17.5 ref 108-12.5
    • 1,000 TYU3 115/117/119 call flys ref 113-14
    • 1,250 TYU3 110/111.5 put spds, ref 113-14
    • 2,500 TYN3 116 calls, 8 ref 113-16.5
    • 1,250 TYN3 113.5/114 put spds ref 113-18.5

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