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Early SOFR/Treasury Option Roundup

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Mixed overnight option trade with underlying futures trading firmer after front month Sep'23 Treasury futures marked new contract lows yesterday. Treasury options seeing better 5- and 10Y call trade albeit on light volume. Salient SOFR option trade is a year end put condor hedging against a Fed on hold (SFRZ3 currently 94.62). Rate hike projections through year end are trading water, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.1bp at 5.42, December cumulative of 6.3bp at 5.391%. Fed terminal at 5.415% in Nov'23.

  • Treasury Options:
    • over 6,800 FVV3 107.5 calls, 26
    • over 5,300 FVV3 106.5 calls, 48 last
    • 4,500 FVU3 107 calls, 6.5 ref 106-05.75
    • over 5,900 TYU3 109.5 puts, 17 last
    • over 4,800 TYU3 108.5 puts, 9 last
    • 2,600 TYU3 112 calls, 4 ref 110-02.5
    • 4,000 TYX3 113 calls, 35
  • SOFR Options:
    • 22,000 SFRZ3 94.31/94.37/94.38/94.43 put condors ref 94.615
    • 4,000 SFRV3 95.25 calls, ref 94.625
    • 2,900 SFRZ4 94.25 puts ref 95.82 to -.825
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Mixed overnight option trade with underlying futures trading firmer after front month Sep'23 Treasury futures marked new contract lows yesterday. Treasury options seeing better 5- and 10Y call trade albeit on light volume. Salient SOFR option trade is a year end put condor hedging against a Fed on hold (SFRZ3 currently 94.62). Rate hike projections through year end are trading water, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.1bp at 5.42, December cumulative of 6.3bp at 5.391%. Fed terminal at 5.415% in Nov'23.

  • Treasury Options:
    • over 6,800 FVV3 107.5 calls, 26
    • over 5,300 FVV3 106.5 calls, 48 last
    • 4,500 FVU3 107 calls, 6.5 ref 106-05.75
    • over 5,900 TYU3 109.5 puts, 17 last
    • over 4,800 TYU3 108.5 puts, 9 last
    • 2,600 TYU3 112 calls, 4 ref 110-02.5
    • 4,000 TYX3 113 calls, 35
  • SOFR Options:
    • 22,000 SFRZ3 94.31/94.37/94.38/94.43 put condors ref 94.615
    • 4,000 SFRV3 95.25 calls, ref 94.625
    • 2,900 SFRZ4 94.25 puts ref 95.82 to -.825