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Early SOFR/Treasury Option Roundup

US TSYS

Mixed overnight SOFR/Treasury option flow on lighter volumes, focus mainly on unwinding/rolling November serial Tsy options ahead today's expiration (Nov SOFR options expire in 2 weeks). Underlying futures mildly weaker, inside relatively narrow overnight range, traders await this morning's PCE and UofM inflation exp, not to mention next Wed's FOMC annc. Projected rate hikes into early 2024 static/near recent lows: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 4.8bp at 5.376%, January 2024 cumulative 7.9bp at 5.408%, March 2024 at 3.9bp at 5.368%. Fed terminal at 5.405% in Feb'24.

  • SOFR Options:
    • 2,000 0QZ3 94.75/94.93/95.12 put trees ref 95.39
  • Treasury Options: Reminder, Nov serial options expire today
    • over 12,800 Wednesday weekly 10Y 107 calls, 11-13 ref 106-04 to -08 (expire Nov 1)
    • 1,650 FVZ3 105.75/107.25 call spds
    • over 5,200 TYZ3 106 puts, 58 last
    • over 5,700 TYX 106.5 calls, 4 last
    • over 6,200 TYX3 106 puts, 4 last
    • over 5,000 TYX3 106.25 puts, 9 last

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