Early SOFR/Treasury Option Roundup

Modest upside call trade in SOFR options overnight while Treasury options see a pick-up in 5- and 10Y puts even as underlying futures bounce after marking new cycle lows in 10s (TYU3 108-28). Rate hike projections through year end are inching higher ahead Jackson Hole eco-summit, short end rates softer this morning: Sep 20 FOMC is 12% w/ implied rate change of +3bp to 5.359%. November cumulative of +11.7bp at 5.445, December cumulative of 10.1bp at 5.430%. Fed terminal at 5.44% in Nov'23.

• SOFR Options:
  • 2,000 0QU4 97.00/97.50 call spds ref 96.115
  • 2,500 SFRZ3 94.68/95.00 call spds ref 95.575
  • 5,000 SFRZ3 94.68 calls ref 94.575
  • 5,100 SFRZ3 94.56 calls ref 94.575
• Treasury Options:
  • 5,250 TYU3 109.5 calls, 17 last
  • 5,000 TYU3 109/110 put spds ref 109-06
  • 5,500 FVV3 107.5/108.5 call spds
  • 2,000 FVV3 104.75/105.25/106.5 2x3x1 broken put flys ref 106-03.75
  • 2,000 FVV3 104.5/105/106 2x3x1 broken put flys ref 106-03.75