US TSYS: Late SOFR/Treasury Option Roundup

Better low delta put structures in SOFR and Tsy options, fading bounce in underlying off Thu's lows in early trade turned mixed by midday as underlying futures marched higher into the close. Largest position build over shortest period of time in SOFR options: 100,000 Red Sep'24 98.50/99.50/100.50 put flys, 0.5 - purpose of trade most likely to plug portfolio risk associated w/ near 4% bp drop in interest rates by fall of 2024

• SOFR Options:
  • +100,000 SFRU4 98.50/99.50/100.50 put flys 0.5, Red Sep'24 underlying trades 95.75 (+0.060)
  • Block, 9,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
  • +3,000 SFRM3 94.62/94.75/94.87 call flys, .75 vs. 94.70
  • +10,000 SFRH4 96.25/97.25 call spds 9.25 ref 95.00
  • 4,000 SFRU3 94.00/94.62 put spds ref 94.575
  • 2,000 2QH3 96.12/96.25/96.50 broken put flys ref 96.21
  • Block, 2,500 OQK3 94.56/94.81 put spds, 4.0 vs 95.405
  • 2,100 SFRJ3 94.25/94.37/94.5 put flys, ref 94.63
  • 2,000 SFRJ3 94.87/95.37 call spds ref 94.63
  • over 13,800 SFRM3 94.50 puts, 94.62 -.605
  • 8,600 SFRU3 94.18/94.31 put spds, ref 94.58 to .575
• Treasury Options:
  • +5,000 USJ 120/122 put spds, 27
  • 1,000 TYJ 111 calls, 57 last, total volume over 5,600 from 44 low
  • 3,000 TYJ 107/108 put spds, 5 ref 110-28
  • 2,500 TYK3 111/112 put spds ref 110-26
  • 3,000 TYJ3 111/112 put spds, ref 110-26
  • over 3,300 TYM3 106 puts, 19 ref 110-28
  • over 4,200 TYJ3 108 puts, 8 ref 110-24.5
  • over 3,700 TYJ3 110 puts, 39 ref 110-22.5
  • 2,500 FVJ3 108.75 calls, 3.5 ref 106-16.5
  • 2,000 FVK3 110 calls, 4 ref 106-15.5