Two-way SOFR & Treasury option trade Monday - light volumes with much of Europe and out for extended Easter holiday weekend. Underlying futures off early lows - near midrange after the bell. Projected rate cut pricing near flat out to mid 2027.
- SOFR Options:
- +7,000 SFRZ6 97.00/98.00 2x3 call spds, 8.75 net ref 96.305
- -3,000 SFRN6 96.68/96.87/97.06 call flys, 0.5
- +5,000 0QU6 96.50/96.62 put spds, 7.0
- +5,000 SFRU6 95.31 puts, 3.75
- 3,000 SFRU6 95.31/95.37 put spds ref 96.285
- 1,500 0QU6 96.62/97.00 call spds ref 96.44
- 2,000 0QM6 96.25/96.37/96.87/97.00 call condors
- +7,000 0QU6 96.50/96.62 put spds, 7.0
- +7,000 0QM6 97.00 calls, 4.0
- Treasury Options:
- -6,000 wk2 TY 110/110.5/110.75 broken put flys, 1 net/wings over ref 110-27.5, expire this Friday
- 1,000 FVM6 108.5/110.5 1x3 call spds
- 1,700 FVK6 109/110.5/111.5 broken call flys ref 107-30.5
- +5,300 TYK6 110.5 straddles, 111 ref 110-24.5
- 2,000 wk2 TY 103.75/TUK6 104.5 1x3 call spds
- 1,300 USK6 116/118/120 call flys
- over 4,000 FVK6 110 calls, 2 last ref 107-29
- +2,500 TYK6 111.5/112 call spds, 7 ref 110-23/0.13%
- +5,000 wk2 TY 111.5 calls, 5 vs. 110-22/0.19%
- +5,000 Wednesday wkly 111.25 calls, 5
- +8,000 TYK6 111.75 calls vs. 110/110.5 put spds, 0.0 to 1 net