Early SOFR/Treasury Option Roundup

Mixed FI options on net, light summer volumes reported overnight with pick up in SOFR/Treasury call structures more recently as underlying futures inch higher. Rate hike projections through year end recede slightly, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.6bp at 5.425, December cumulative of 6.7bp at 5.396%. Fed terminal steady at 5.42% in Nov'23.

• SOFR Options:
  • Block/screen, 8,000 SFRM4 96.00/97.00/98.00 call flys, 7.0 vs 95.18
  • Block, 2,500 SFRZ3 95.75 calls, 4.0 vs. 94.63/0.09%
  • 6,000 0QV3 95.62/95.87 put spds vs. 2QV3 96.12/96.37 put spds,
  • 2,000 SFRV3 94.25/95.37 strangles or combos, ref 94.605
  • 1,300 SFRU3 94.25/94.50 put spds ref 94.5875
• Treasury Options:
  • 2,400 TYU3 110.25 calls, 35 last
  • 2,500 TYU3 111 calls, 18 last
  • 2,400 TYU3 110 puts, 31 last
  • 1,500 TYU3 108.5/109.5 put spds ref 110-07.5
  • 1,500 TYWQ3 109.5/110 put spds, 11 ref 110-08.5
  • 5,000 FVWQ3 105.5/105.75 put spds, 1 ref 106-06.75