US TSYS: Early SOFR/Treasury Option Roundup: Low Delta Put Focus Continues

SOFR & Treasury option flow continued to revolve around low delta put structures - carry-over from Monday, underlying futures climbing (TYH6 testing resistance at 112-16), curves bull flattening (2s10s currently -1.835 at 69.447 vs. 71.504 high). Projected rate cut pricing slightly higher vs. late Monday levels (*): Mar'26 at -5.6bp (-4.7bp), Apr'26 at -11.1bp (-10.1bp), Jun'26 at -25.8bp (-24.8bp), Jul'26 at -35.1bp (-34.1bp).

• SOFR Options:
  • 3,000 SFRH6 96.37/96.43/96.50 put flys ref 96.395
  • +11,500 SFRM6/SFRZ6 96.31/96.43 put spd spd, 0.5 - flattener
  • 8,000 SFRG6 96.43/96.50 call spds ref 96.40
  • 4,000 0QM6 96.37/96.50 put spds
  • -5,000 SFRH6 96.37/96.50 put spds, 9.75 ref 96.40
  • -2,000 0QG6 96.62/96.87/97.12 2x3x1 put flys, 11.0 ref 96.885
  • +2,000 SFRZ6 97.00/97.25 call spds vs. 96.37 put, 3.0 ref 96.885
  • 0qm6 96.50/96.375 ps vs 96.83 7% seller 2s 4k 644am
• Treasury Options:
  • 8,000 FVH6 108.25/108.5/108.75 put flys ref 109-09
  • 6,000 Wednesday wkly 109 puts, 4 ref 109-07.25
  • 3,000 FVH6 109/109.25 call spds, 8 ref 109-06.75
  • over +33,500 FVH6 109 puts, 8.5 ref 109-06.25
  • 3,500 FVH6 109.25 calls, 13 ref 109-06.5
  • -3,000 TUJ6 104.37 puts, 10 vs 104-13.75/0.46%
  • +2,000 TYH6 111/112 put spds, 11 ref 112-09.5
  • +2,000 TYH6 112.5/112.75/113.25 broken call trees, 1.0 ref 112-04.5
  • +3,000 TYH6 112.25 straddles, 40 ref 112-10.5
  • -1,500 USK6 110 puts, 25 ref 115-11
  • -2,000 TYK6 113.5 calls, 26
  • over 7,800 TYH6 112 puts, 12 ref 112-08.5
  • over +10,000 USJ6 118/119 call spds, 11 vs. 115-31 to -22/0.06%
  • over 4,900 wk2 TY 111.75 puts, 4
  • over 6,900 wk2 TY 112.25 puts, 17-15
  • 2,000 wk2 TY 112.25 calls, 16