Early SOFR/Treasury Option Roundup, Put Remain Focus

Flurry of low delta put trade in Tsy 5Y, 10Y and SOFR options in the last few minutes. Overall volume remains light, however, particularly in underlying futures: TYZ3 - still under 200k at the moment. Rate hike projections through year end near steady late Monday levels, Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +11.5p at 5.446, December cumulative of 13.1bp at 5.462%. Fed terminal up to 5.455% in Dec'23.

• SOFR Options:
  • Block, 4,000 SFRX3 94.50/94.62 put spds, 6.5 ref 94.545
  • Block/screen, 5,250 0QF4 95.37/95.62/95.87 put flys, 3.5 ref 95.89
  • 2,000 2QU3 96.37/96.50 call spds ref 96.17
  • 2,000 SFRH4 95.00 calls vs. 1,000 2QH4 96.25 calls
  • 1,500 SFRV3/SFRX3 94.37/94.50 put spd spds
• Treasury Options:
  • 5,000 FVX3 106.75 calls, ref 106-04
  • 1,000 FVX3 107.5/108/108.5 call flys ref 106-04
  • 2,000 wk3 TY 108.5/109 put spds, 5 ref 109-24.5
  • over 7,700 TYV3 109 puts, 17 ref 109-24
  • 1,000 TYV3 110.5/111.5 call spds, 13 ref 109-26
  • 2,000 TYV3 111 calls, 11 ref 109-25.5