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Early SOFR/Treasury Option Roundup

US TSYS

Better SOFR call structure trade reported overnight, Treasury options more mixed on lighter volumes with underlying futures weaker, back near last Thursday's closing levels. Rate hike projections through year end are near late Friday levels, Sep 20 FOMC is 11% w/ implied rate change of +2.7bp to 5.356%. November cumulative of +10.1bp at 5.43, December cumulative of 7.9bp at 5.408%. Fed terminal at 5.425% in Nov'23.

  • SOFR Options:
    • Block/screen, over 10,600 SFRX3 94.56/94.62/94.68/94.81 broken call condors, 1.5 ref 94.61 to -.60
    • 1,750 SFRZ3 94.75/94.87 call spds vs. SFRZ3 94.12/94.25 put spds
    • 2,000 SFRZ3 95.00 calls, ref 94.605
    • 2,500 SFRX3 94.37 puts ref 94.60
    • 2,000 SFRX3 94.62/94.87/95.37 broken call flys ref 94.615
    • 2,000 SFRV3 94.56/94.75/95.06 broken call flys ref 94.615
  • Treasury Options:
    • 2,600 FVU3 106 calls, 12.5 last
    • 5,300 TYV3 108 puts, 25
    • 4,700 TYU3 110 calls, 12 last
    • 4,500 TYU3 108.5 puts, 7 last

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