Early SOFR/Treasury Option Roundup

Decent overnight volumes focus on low-delta puts, put spreads overnight, fading current long end rally this morning. Rate hike projections through year end are cooling: Sep 20 FOMC is 13% w/ implied rate change of +3.2bp to 5.359%. November cumulative of +8.3bp at 5.409, December cumulative of 3.9bp at 5.365%. Fed terminal at 5.41% in Nov'23. Reminder: serial August options expire Friday. Salient trade:

• SOFR Options:
  • 4,500 SFRU3 94.50 calls, 12 ref 94.605
  • 3,000 SFRM4 94.00/95.00 2x1 put spds, ref 95.34
  • 1,650 OQQ3 96.00/96.12/96.25 1x3x2 call flys ref 95.76
  • 2,000 SFRH4 93.75/94.00/94.25 put flys
  • Block, 2,000 OQZ3 95.25/96.00 3x2 put spds vs. 4,000 OQZ3 97.00 calls, 17.5 net/put spd over
  • 3,000 OQZ3 95.75 puts ref 96.09
  • 3,300 SFRF4 94.50 puts ref 94.955
  • Block, 2,650 SFRZ5 95.00/95.50/96.00 put flys, 4.5 ref 96.55
  • 1,500 OQU3 95.25/95.50/95.75 put trees, ref 95.755
  • Block, 4,000 0QV3 95.62/95.87 put spds 8.5 vs. 96.08/0.15% vs.
  • Block, 4,000 2QV3 96.12/96.37 put spds, 8.0 vs. 96.56/0.15%
  • 2,000 2QQ3 96.25/96.50/96.75 call flys ref 96.54
• Tsy Options:
  • over 11,700 TYU3 113 calls, 18-20 ref 111-22
  • over 29,000 TYU3 109/110 put spds, 8-9 ref 111-15.5 to -18
  • over 11,800 TYV 113 calls, 48-54 ref 111-31 to 112-03.5
  • 2,500 TYU3 111.25 calls, 42 ref 111-14
  • 1,000 USV3 114/116/117/119 put condors ref 123-03
  • 1,250 USU3 119.5/123 put spds, ref 122-19