Early SOFR/Treasury Option Roundup, Carryover Calls

Better SOFR and Treasury upside call trade, albeit on lighter volumes, reported overnight -- carry-over from Tue anticipating a rebound in underlying futures this morning. Rate hike projections through year end off Tue's highs: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +11bp at 5.441, December cumulative of 9.6bp at 5.427%. Fed terminal at 5.44% in Nov'23.

• SOFR Options:
  • 2,300 SFRV3 94.62/94.75 call spds ref 94.57
  • 3,000 SFRM4 94.12/94.38 put spds vs. 95.50/95.75 call spds ref 95.005
  • 2,000 0QZ3 96.00/96.50 call spds vs. 2QZ3 96.62/97.12 call spds
  • 1,750 SFRZ3 94.75 calls, 7.0 ref 94.57
• Treasury Options:
  • 1,400 USV3 123/123.5 call spds ref 119-06
  • 4,000 FVV3 106.75/107.25/107.5 call trees ref 106-12
  • over 10,500 TYV3 111.5 calls, 11-12 ref 110-01
  • 2,700 TUV3 101.37 puts, 5 ref 101-21.88
  • 5,000 TYX3 108/112 strangles ref 110-00.5 to 110-01.5
  • 3,400 TYV3 108.5/111.5 strangles ref 110-01 to -00.5
  • 4,800 FVV3 107.75/108.5 call spds ref 106-12