Late SOFR/Treasury Option Roundup

Session trade remained mixed, moderate volumes amid slightly better upside call hedging on the day. Gist of trade leading up to the final FOMC policy annc for 2022: While market is pricing in 50bp hike in Dec and another in February, major accts well positioned for larger than expected rate hike in early 2023. Rate hike positioning through mid-2023. Things get opaque in late 2023, but Fed pundits forecasting less inflation late next year. Salient trade:

• SOFR Options:
  • Block, 5,000 SFRZ2 95.43/95.50 2x1 put spds, 0.25 net, 2-legs over ref 95.46
  • +10,000 SFRZ2 97.00/98.00 call spds, 9.5-10.0
  • +10,000 Green Mar SOFR 97.12/97.50/97.87 call flys, 5.75 ref 96.98
  • +10,000 SFRZ 95.31/95.43 call spds ref 95.4625
  • 2,000 SFRZ 95.50/95.75 2x1 put spds
  • 2,000 short Jan SOFR 94.75/95.25 2x1 put spds ref 96.03
  • 2,000 SFRU3 95.50/95.75/96.00/96.50 broken call condors ref 95.245
  • 2,000 short Dec SOFR 95.50/95.75 call spds, ref 95.585
• Treasury Options:
  • 2,000 FVH 105/106/107 put trees
  • 2,300 TYF 112/113 put spds, 14
  • 2,000 TYH 108.5/110 put spds ref 114-08.5
  • 2,500 TYF 114/115.5 call spds, 42
  • Block, 5,000 TYF3 114/116 call spds, 47 ref 114-10
  • 8,500 TYF 113 puts, 21 ref 114-09
  • 2,000 TYH 110 puts, 27 ref 114-10
  • 4,000 wk3 TY 115.5/116/117 broken call flys ref 114-10.5
  • 1,800 TYF 113/114.25 put spds ref 114-09.5
  • 1,100 FVG 108/110 strangles ref 108-30