Early SOFR/Treasury Option Roundup

Mixed overnight FI option trade, SOFR and Treasury derivatives leaning toward better low delta puts, put spreads (albeit on light volume) in the lead up to this morning's CPI inflation data. Underlying futures trading soft, short end outperforming slightly as rate hike projections through year end tread water: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +10.5p at 5.435, December cumulative of 12.4bp at 5.454%. Fed terminal at 5.455% in Jan'24.

• SOFR Options:
  • 2,200 0QU3 95.25/95.38/95.62 broken call trees ref 95.215
  • over 3,900 0QU3 95.31/2QU3 96.18 call spds
  • 3,500 0QZ3 95.38 puts ref 95.55
  • 2,000 0QZ3 96.50/96.75 call spds ref 95.55
  • 3,000 SFRM4 94.38/94.75/95.00 broken put trees ref 94.905
  • 1,000 SFRZ3 93.87/94.00 put spds ref 94.54
  • 1,000 SFRM4 94.25/94.75 put spds, ref 94.905
  • over 4,400 0QU3 95.06/95.12/95.18 put trees ref 95.225
• Treasury Options:
  • 1,200 TYV3 110.5/111.25 call spds 9 ref 109-20.5
  • 2,500 USX3 122/123 call spds ref 119-00
  • over 5,000 FVX3 107 calls, 20.5-21 ref 106-01
  • over 13,400 TYV3 108.5 puts, 9-10 ref 109-21
  • 2,500 wk3 10Y 110 calls 13 ref 109-21
  • 1,250 TYV3 108.75 puts, 12 ref 109-22.5