Early SOFR/Treasury Option Roundup

Mixed option trade overnight after better upside call buying early Thu (paper +70k SFRZ3 9487/9500 call spds at 2.5). Underlying futures giving back a portion of Thu's rally, rate hike projections through year end firm slightly but remain off mid-week highs. Fed funds currently pricing in 91.2% chance of a 25bp hike at the July 26 FOMC, while December cumulative running 23bp (31.7bp on Wed) at 5.303%.

• SOFR Options:
  • 2,000 OQN3 96.00 calls ref 95.95
  • 2,000 SFRU3 94.31/94.43/94.50/94.62 put condors ref 94.61
  • 4,000 SFRZ3 95.00/95.25/95.50 call flys, 1.0 ref 94.71 to -.715
  • 7,000 OQU3 97.00 calls, 3.5 ref 95.94
  • 4,000 SFRH4 94.50 puts ref 95.065
• Treasury Options:
  • 4,900 FVQ3 107 puts, 6 last
  • 3,500 TYU3 115.5 calls ref 112-23.5
  • 4,000 TYQ3 113.5/114 call spds
  • 4,400 TYQ3 112 puts, 9 last
  • 1,100 TYU3 111.5/113/114.5 call flys ref 112-25
  • over 7,800 TYU3 111.5 puts over TYU3 113/114.5 call spds ref 112-25.5