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Better Call Buying Discount Hawkish Fed Forward Guidance

US TSYS
  • Fading the hawkish forward guidance (12 of 18 Fed officials see another 50bp in hikes this year) reported option flow segued to better upside call buying in the second half. Salient trade was a sclae buyer of over 100,000 Dec'23 SOFR 96.50 calls from 6.0-7.5 in the second half, underlying futures 94.78 to -.77 on 10% delta.
  • Better put volume in SOFR options overnight, nearly all in June ahead today's FOMC annc (pause expected with a hawkish tone for forward guidance), June lead quarterly and midcurve options expire Friday. Treasury options mixed but on very light volumes.
  • SOFR Options:
    • Block/screen, +100,000 SFRZ3 96.50 calls, from 6.0-7.5 vs. 94.78 to -.77/0.10%
    • +10,000 SFRU3 98.50 calls, 0.75 ref 94.755
    • +6,000 SFRQ3 94.75/95.12 call spds, 8
    • Block, +5,000 SFRM4 95.75 calls, 58.5 vs. 95.69/0.50% vs.
    • Block, -5,000 OQM4 96.75 calls, 54.0 vs. 96.66/0.25%
    • 4,750 OQM3 95.50 puts, 3.5 ref 95.68
    • 1,500 SFRN3 94.81/94.93/95.00/95.12 put condors
    • 2,000 SFRZ3 94.31 puts, 8.5 ref 94.895
    • 28,000 OQM3 94.56 puts, 0.5 ref 95.65
    • 2,000 OQM3 95.00/95.25/95.50 put flys ref 95.65
    • Block/screen, 4,900 SFRM3 94.75/94.81/94.88/94.93 put condors, 3.5
    • 6,000 OQM3 94.81 puts, .25
    • 5,000 SFRM3 94.68/94.75/94.81 put flys
    • 5,000 SFRM3 94.50/94.56/94.62 1x1x2 put trees ref 99.7725 to -.775
  • Treasury Options:
    • 2,500 TYN3 111.5/112.5 put spds 2 over TYN 114 calls
    • 3,000 TYN3 112.25/112.75 put spds, 10 ref 113-02
    • over 17,500 TUU3 100.5/102 put spds, 3 over TUU3 103 calls
    • Block, +12,000 wk3 TY 112.25 puts, 7 ref 113-01.5
    • 5,500 TYU3 109 puts, 21 ref 113-03
    • over 5,800 TYQ3 114.5 calls, 30 last ref 113-04
    • over 3.300 TYN3 114.5 calls, 7 last ref 113-03
    • 1,000 USN3 123/125 put spds, 13 ref 126-22
    • 1,000 FVN 106/107 put spds vs. 107/108 call spds ref 107-29.5
    • over 8,200 TYN3 112 puts, 14-15 ref 112-27
    • Block/screen, 9,000 FVQ3 109.5 calls, 14.5 ref 107-29.25
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