Early SOFR/Treasury Option Roundup

Rather limited SOFR/Treasury option trade overnight, accounts plying sidelines ahead today's FOMC annc. Better Treasury call interest more related to unwinds ahead Friday's October expiration than to tactical positioning ahead today's Fed event. Rate hike projections through year end are steady to mildly lower: Sep 20 FOMC is 0.8% w/ implied rate change of +0.02bp to 5.333%. November cumulative of +7.4p at 5.405, December cumulative of 10.6bp at 5.436%. Fed terminal at 5.44% in Jan'24.

• SOFR Options:
  • 2,000 2QZ3 96.62/97.12 call spds ref 96.075
  • 2,000 SFRZ3 95.00/95.5 1x2 call spds ref 94.54
  • 1,000 SFRZ3 94.37/94.43 put spds
• Treasury Options: (Reminder: October options expire Friday)
  • 4,500 FVZ3 111 calls, 2
  • over 7,200 TYV3 110.25 calls, 3 last
  • over 6,200 TYV3 109.5 calls, 14 last
  • over 5,600 TYV3 110 calls, 4-5 ref 109-07 to -08
  • 3,000 TYX3 110.5 calls, 26 last
  • 1,100 TYZ3 107/111.5 strangles ref 109-05.5
  • 1,300 USV3 119 calls, 17 last