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Early SOFR/Treasury Option Roundup

US TSYS
Better downside put trade overnight, particularly in Jul'23 and Aug'23 5Y puts, as underlying futures continue to trade lows, 10Y yield climbs to 3.8148% high. Fed funds pricing in appr 38.8% chance of a 25bp hike next week, July OR Sep closer to pricing in a full hike: 91.2% and 80.0% respectively, while year end rate cut chances near 0%.
  • SOFR Options:
    • 5,000 SFRM3 94.68/94.75/94.81 put flys, ref 94.73
    • 5,000 OQM3 95.25/95.50 put spds ref 96.195
    • 4,500 OQM3 95.62 puts ref 95.785
    • 1,500 SFRN3 94.56/94.75/94.87 put flys,
  • Treasury Options:
    • over 8,000 TYN3 112 puts, 19 ref 113-00
    • 1,500 TYN3 118 calls, 1 ref 112-31.5
    • 2,000 TYN3 117.5 calls, 2 ref 113-03
    • over 6,600 FVN3 107.75 puts ref 108-06.25
    • Block, 10,000 FVQ3 108 puts, 27 vs. 108-06.25/0.50%
    • over 5,400 TYQ3 112 puts, 43 ref 113-03.5
    • Block, 10,000 FVN3 108 puts, 29 ref 108-04.5
    • Block, 10,000 FVQ3 107.25 puts, 30 ref 108-04.75
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