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Early SOFR/Treasury Option Roundup

US TSYS
  • Mixed overnight trade on modest volumes leaning toward better upside calls in Treasury options. Underlying futures bounced overnight after lower than projected European PMIs overnight (France servicer PMI 48 vs 52.1 est; Germany mfg PMI 41.0 vs. 43.5 est; EU and UK softer as well). Cooler inflation metrics slightly tempered projected US rate hike at one of the next three meetings, though Nov'23 implied rate still fully pricing in a hike.
  • SOFR Options:
    • 2,000 OQQ3 96.25/96.50/96.68 call flys ref 95.89
    • 1,250 SFRN3 94.25/95.25 strangles ref 94.64
    • Block, 2,000 SFRU3 94.25/94.50/94.75 put flys, 10.25 ref 94.65 vs.
    • Block, 4,000 SFRZ3 95.00/95.25 call spds, 4.75 ref 94.75
  • Treasury Options:
    • over 7,800 TYQ3 115 calls, 14-15 ref 113-03.5 to -03
    • 1,300 TYQ3 116 calls, 7 ref 113-04.5
    • 1,500 FVQ3 107.5 puts, 29 ref 107-26
    • 1,500 FVN3 108.25/109 call spds ref 107-25.5
    • 1,000 TYU3 117 calls, 16 ref 113-03.5
    • 1,000 TYU3 114/115.5/116.5 broken call flys, ref 112-25.5
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