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Early SOFR/Treasury Option Roundup

US TSYS

Mixed overnight FI option trade on limited volumes appears to favor low delta puts and spreads. Reminder, Sep SOFR options expire Friday, seeing a steady trickle of position unwinds and position rolls. Underlying futures trading steady to mildly mixed, short end rates outperforming weaker long end. Rate hike projections through year end cooling slightly: Sep 20 FOMC is 2.3% w/ implied rate change of +0.06bp to 5.338%. November cumulative of +9.9p at 5.431, December cumulative of 12bp at 5.452%. Fed terminal at 5.45% in Jan'24.

  • SOFR Options:
  • 6,000 SFRH4 94.43/94.62 ref 94.68
  • 3,000 0QU3 96.00/96.25 put spds ref 95.27
  • 2,500 SFRU3 98.25/98.50 call spds ref 95.265
  • 4,000 SFRV3 94.25/94.50 put spds ref 94.545
  • 3,500 SFRV3 94.62 calls, 2.5 last
  • Treasury Options:
  • 2,000 TUV3101.75 calls ref 101-19.62
  • over 3,100 TYV3 109 puts, 9 last
  • 2,000 FVV3 105.75 puts, 8.5 ref 106-10.25
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