Early SOFR/Treasury Option Roundup: Tsy Calls Ahead CPI

Overnight fixed income option trade more mixed, leaning toward Tsy calls this morning compared to better downside put trade Tuesday. Underlying futures trading higher, adding to Tue's gains in the lead-up to this morning's June CPI data. Ahead of the key inflation measure, projected rate hike through year end holding steady.

• SOFR Options:
  • 1,500 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
  • 9,000 OQV3 95.62/95.87 put spds vs. 2QV3 96.12/96.37 put spds
  • 7,400 SFRU3 94.50 puts, 0.5 ref 94.58
  • 2,000 SFRN3 94.50/94.56 put spds ref 94.58
  • 5,200 SFRN3 94.50 puts ref 94.585
  • 4,000 SFRQ3 94.62/94.68/94.75/94.81 call condors ref 94.59
  • 10,000 SFRQ3 94.56/94.62/94.68 call flys ref 94.58 to -.59
• Treasury Options:
  • 3,000 wk2 TY 112.5 calls, 4 ref 111-14.5
  • 4,800 FVQ 108 calls, 4.5 ref 106-26.5 to -26.75
  • 2,500 TYU3 114.5/115.5 3x2 (wrong-way) call spds ref 111-18
  • 1,250 TYU3 112.5/114.5/115.5 broken call flys on 1x3x2 ratio ref 111-17.5
  • over 3,500 TYQ3 110 puts, 6 ref 111-16
  • 6,000 FVQ3 108.25 calls, 3 ref 106-26 to -27.5
  • 5,000 TYQ3 110.5/111.25 put spds 0.0 over TYQ 112.25 calls ref 111--16 (adds to over 6,000 traded Tue)
  • 1,500 FVU3 108 calls, 25 ref 106-24
  • 1,500 FVQ3 108.5 calls ref 106-24