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SOFR/Treasury Option Roundup: Fading the FI Sell-Off

US TSYS
Despite underlying rate futures trading weaker as projected rate cuts into year-end moderated, option trades continued to rotate around better upside call and call structure buying Friday. Salient trade include:
  • SOFR Options:
    • Block, 5,000 SFRN3 95.25/95.75/96.25 call flys, 4.0 ref 95.235
    • Block, 8,000 SFRU3 95.25/95.75/96.25 call flys, 2.75 ref 95.23
    • Block, 5,000 SFRU3 94.81/94.93/95.06 put trees, 0.5 net 2-legs over
    • +15,000 SFRU 95.12/95.37/95.62 call flys, 1.5
    • -20,000 SFRM3 94.68/94.75 put spds 0.75 vs. 94.955/0.05%
    • +4,000 SFRM3 95.25/96.00 2x3 call spds, 3.75 net ref 94.945
    • +1,000 SFRQ3 96.25/97.25 1x2 call psds, 2.75
    • +5,000 SFRH4 94.68/95.18 put spds, 9.5
    • 1,500 SFRN3 95.18 puts, ref 95.295
    • 1,100 SFRN3 95.12/95.37/95.62 call flys ref 95.29
  • Treasury Options:
    • -7,000 FVM 110/110.5 put spds, 17.5 ref 110-07.25
    • +14,000 wk3 FV 111/111.5 call spds, 3.5 ref 110-06.75
    • +20,000 wk3 TY 115/116.75 call over risk reversal from 1-2 vs. 115-27.5
    • 2,800 TYM3 115.5 puts, 28 ref 115-30
    • 2,000 TYM3 116 calls ref 116-03.5
    • 10,000 FVM3 109.75 puts, 11.5 ref 110-18 to -17
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