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Early SOFR/Treasury Option Roundup

US TSYS

Modest overnight summer volumes on better overall call trades. Underlying futures weaker while rate hike projections gain slightly: July running at 96% w/ implied rate of +24bp to 5.318%. September cumulative of +28bp at 5.358%, November cumulative of 33.7bp at 5.415%, and December cumulative of 28.6bp at 5.363%. Fed terminal holding at 5.41% in Nov'23. Salient trade includes:

  • SOFR Options:
    • Block, 4,000 SFRZ3 94.75/95.00 call spds, 4.0 ref 94.655
    • Block, 4,000 OQZ3 97.00/97.25 call spds, 4.0 ref 96.095
  • Treasury Options:
    • over 5,000 FVU 108.75 calls, 17.5 last
    • 2,000 FVU3 107 puts 31 ref 107-16.25
    • 2,100 TYU3 115 calls ref 112-20.5
    • over 5,200 TYQ3 113 calls, 9-5
    • over 5,000 TYQ3 113.25 calls, 5-2 ref 112-28
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