Early SOFR/Treasury Option Roundup: Mixed, Underlying Firmer

Mixed SOFR and Treasury option trade reported on modest volumes overnight. Underlying futures firmer but still well off Wed's pre-ISM Services data highs. Rate hike projections through year end running steady: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +12.5bp at 5.456, December cumulative of 11.8bp at 5.449%. Fed terminal at 5.455% in Nov'23.

• SOFR Options:
  • 2,000 SFRZ3 95.25/96.25 call spds vs. 2QZ3 97.5/98.5 call spd
  • 2,000 SFRX3 94.62 calls ref 94.55
  • 2,000 0QV3 94.87/95.25/95.50 broken put flys vs. 0QV3 96.25 calls
  • 2,000 0QV3 95.25 puts ref 95.63
  • 1,500 SFRV3 94.68 calls, 3.0 ref 94.55
• Treasury Options:
  • 3,000 TYV3 111 calls, 15 ref 109-28
  • 1,400 TYV3 108.25/109.25 2x1 put spds, 8 ref 109-21.5