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Early SOFR/Treasury Option Roundup: Better Put Trade

US TSYS

Better SOFR/Treasury put trade on net overnight, underlying futures inching lower, TYZ3 back near last Tuesday levels at 110-06 (-12.5). Rate hike projections through year end soft, Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +10.5bp at 5.435, December cumulative of 8.9bp at 5.420%. Fed terminal at 5.435% in Nov'23.

  • SOFR Options:
    • 1,250 SFRU3 94.50/94.75/95.00/95.25 put condors ref 94.59
    • 10,000 SFRH4 95.00/95.12 call spds ref 94.755
    • 6,500 SFRX3 94.62/94.81/94.87/95.37 broken call condors
    • 6,000 0QZ3 95.75/96.00 put spds ref 95.75
    • Block, 4,000 SFRV3 94.12 puts, .5
    • 3,500 SFRM4 94.37/94.75/95.00 broken put trees, ref 95.065
  • Treasury Options:
    • 5,200 TYV3 108.5 puts ref 110-09.5
    • 4,000 TUV3 101.5 puts, 6.5
    • 2,000 TUV3 101.75 puts, 12.5
    • over 5,000 USV3 115/116.5 put spds

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