Early SOFR/Treasury Option Roundup

Decent overnight volumes centering on upside calls with underlying futures bouncing off Tuesday's cycle lows (TYU3 108-28) after lower than expected European service PMIs. Intermediate to long end rate led curve flattening. Rate hike projections through year end have receded from Tuesday's highs: Sep 20 FOMC is 12% w/ implied rate change of +3bp to 5.359%. November cumulative of +11.1bp at 5.44, December cumulative of 9.6bp at 5.45%. Fed terminal holding at 5.44% in Nov'23.

• SOFR Options:
  • over 5,000 SFRV3 94.56/94.75 put spds ref 94.58
  • 4,000 SFRZ3 94.37 puts, total volume over 10k
  • Block/screen, 6,000 SFRV3 94.50/94.62/94.75 call flys, 3.75 ref 94.58
  • 1,000 SFRV3 94.50 puts ref 94.58
  • 8,000 SFRV3 94.62/94.87/95.12 call trees ref 94.58
  • Block call condor calendar spread repeated 2k on screen:
    • Block, 3,750 SFRZ3 94.56/94.62/94.68/94.75 call condors, 2.0 vs.
    • Block, 3,750 SFRH4 94.56/94.68/94.75/94.87 call condors, 2.5
  • 2,000 2QU3 95.87 puts, 9.0 ref 96.05
• Treasury Options:
  • 3,400 TYU3 108.5 puts, 3 ref 109-14
  • 7,500 TYV3 110.5 calls 3 over TYV3 108/109.5 put spds ref 109-17.5
  • 1,000 TYV3 111.5/112.5 call spds ref 109-18.5