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Early SOFR/Treasury Option Roundup

US TSYS

With the exception of some Nov'23 5Y call buying, overnight trade revolved around downside puts ahead of this morning's Sep employment data. Underlying futures off recent lows and midweek cycle lows after Wed's ADP private employ came out lower than expected - spurring rally on hopes of softer policy ahead. Rate hike projections into early 2024 steady to a touch firmer: November at 22.2% w/ implied rate change of +5.6bp to 5.384%, December cumulative of 9.7bp at 5.426%, January 2024 8.4bp at 5.413%. Fed terminal at 5.430% in Jan'24.

  • SOFR Options:
    • 4,000 SFRZ3 94.18/94.37/94.62 put flys, ref 94.555
    • 3,600 SFRV3 93.50/93.75/94.00/94.25 put condors, ref 94.55
    • 5,000 0QV3 95.25 puts, ref 95.435 to -.42
  • Treasury Options:
    • over 7,550 USX3 105/109 put spds ref 110-30
    • over 10,600 FVX3 106 calls, 16 ref 104-31.775

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