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Early SOFR/Treasury Option Roundup

US TSYS
Mixed overnight trade on modest volumes reported overnight, focus on call/put flys in SOFR options so far. Underlying futures through early 2025 trading weaker as implied rate cuts continue to recede (Fed funds cumulative implied hike for Dec'23 -37.3bp at 4.283 vs. nearly a full point last week).
  • SOFR Options:
    • 12,600 SFRM3 94.50/95.00/95.50 call flys, ref 95.09
    • 2,000 SFRJ3 95.18 calls ref 95.09
    • 5,000 SFRM3 94.81/94.93/95.06 put flys ref 95.09
    • 2,000 SFRJ3 95.00/95.06/95.12 put flys, ref 95.095
    • 1,000 SFRJ3 95.00/95.18/95.37 call flys, ref 95.10
    • 2,000 SFRM3 94.37/94.62/94.87/95.12 put condors ref 95.13
  • Treasury Options:
    • 1,800 FVM3 112/114 call spds ref 109-05.75

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