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Early SOFR/Treasury Option Roundup

US TSYS
Mixed trade on lighter volumes ahead today's FOMC announcement. Option desks well positioned for higher, longer rate hikes. While call buying has seen a healthy increase over the last two to three weeks, overall positioning for a rate cut before year end is well behind pace.
  • SOFR Options:
    • 9,000 SFRJ3 95.25/95.37/95.50 call flys ref 95.10 to -.095
    • Block, 5,000 SFRZ3 97.50/98.50 call spds, 11.0 ref 95.635
    • Block, 2,500 SFRM3 93.93/94.12 put spds, 0.75 ref 95.21
    • 7,500 SFRJ3 94.31/94.50/94.62 broken put flys ref 95.20 to -.21
    • 2,000 OQU3 97.50/98.00/98.50/99.00 call condors, ref 96.615 to -.62
  • Treasury Options:
    • 2,500 TYJ3 112.5/113.5 2x1 put spds
    • 2,000 FVJ3 107.5/108 put spds, 3.5 ref 109-00.5
    • over 6,600 TYJ3 116.5 calls, 4 ref 114-10.5

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