Early SOFR/Treasury Option Roundup, SOFR Put Condor Block

Modest overnight option volumes, SOFR options seeing recent put condor Block amid otherwise light midcurve skew and curve interest. Treasury options more consistent upside calls in 5s and 10s. Short end underlying steady to weaker as rate hike projections through year end slip off midweek highs: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +11.5bp at 5.446, December cumulative of 10.8bp at 5.439%. Fed terminal: 5.445% in Nov'23.

• SOFR Options:
  • Block, 4,000 SFRF4 94.25/94.37/94.62/94.75 put condors, 5.5 ref 94.705
  • 4,500 0QU3 95.62/96.12 call spds vs. 2QU3 96.50/97.00 call spds
  • 1,500 SFRV3 94.50/94.56/94.62 put flys, ref 94.565
  • 2,000 0QV3 95.25/95.50 put spds vs. 96.25 calls ref 95.73
• Treasury Options:
  • over 4,800 TYV3 111 calls, 18 last
  • over 2,500 TYX3 112 calls, 27 last
  • 2,500 FVX3 109.5 calls, 5 last
  • 1,500 FVX3 111 calls, 2
  • 3,000 USV3 114/116 put spds, 6 ref 119-21 to -20