Early SOFR/Treasury Options Roundup: Mixed SOFR Ahead Eco-Summit

FI option desks reported mixed SOFR trade overnight: carry-over interest in upside calls from yesterday, in addition to an equal amount of puts overnight with underlying futures mildly weaker into the Jackson Hole eco-summit open. Rate hike projections through year end are inching higher, Sep 20 FOMC is 21% w/ implied rate change of +5.2bp to 5.381%. November cumulative of +14.2bp at 5.471, December cumulative of 13bp at 5.459%. Fed terminal climbing to 5.47% in Nov'23.

• SOFR Options:
  • 5,000 SFRU3 94.37/94.50 put spds ref 94.5575
  • 5,000 SFRZ3 94.12/94.25/94.31/94.43 put condors ref 94.54
  • 6,000 SFRZ3 94.68/94.81/94.93 call flys ref 94.54
  • 4,600 SFRH4 97.87 calls, 2.5 ref 94.69
  • 3,000 SFRH4 94.50 puts ref 94.685 to -.69
  • 14,900 SFRH4 95.25 calls vs. SFRH4 94.5/94.75 put spds ref 94.70
  • Block/screen, 5,300 SFRZ3 94.56/94.62/94.68/94.75 call condors 2.0 vs. SFRH4 94.56/94.68/94.75/94.87 call condors 2.5
  • 4,000 SFRZ3 94.25/94.37/94.50 put flys ref 94.55
• Treasury Options: Mostly squaring of Sep'23 options that expire tonight.
  • 3,000 TYU3 108.5/109 put spds, 4
  • 4,200 FVU3 105.75 calls, 9 ref 105-22
  • 3,000 FVU3 106 puts, 22 ref 105-23.5
  • over 5,000 USU3 118.5 puts ref 119-25