Early SOFR/Treasury Option Roundup

Moderate overnight SOFR and Treasury option volume overnight, leaning toward better low delta covered puts and spreads. Underlying futures weaker, curves bear steepening while rate hike projections by year end stand firmer, Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +11bp at 5.441, December cumulative of 11bp at 5.441%. Fed terminal at 5.44% in Nov'23 through Jan'24.

• SOFR Options:
  • 8,000 SFRX3 94.31/94.43/94.50 broken put trees ref 94.555
  • Block, 2,500 SFRZ3 93.87 puts, .75 vs. 95.54/0.05%
  • Block 4,500 SFRF4 94.18/94.37 3x2 put spds, 3.5 ref 94.695 to -.70
• Treasury Options:
  • over 4,700 TYV3 111.5 calls, 6 last
  • over 5,200 TYV3 109 puts, 20 last
  • over 4,300 TYV3 108.5 puts, 11 last
  • over 3,500 wk3 TY 109 puts, 9 last ref 109-23.5
  • 4,400 TYV3 111.5 calls, 6 ref 109-22
  • over 3,600 USX3 118 puts, 136 last
  • 2,000 FVV3 104.5/105.5 put spds