Late SOFR/Treasury Option Roundup

Modest overnight summer volumes on better overall call trades segued to low delta put structures from midday on Thursday. Underlying futures weaker while rate hike projections gain slightly: July running at 96% w/ implied rate of +24bp to 5.318%. September cumulative of +28.2bp at 5.358%, November cumulative of 34.2bp at 5.42%, and December cumulative of 29.1bp at 5.368%. Fed terminal holding at 5.42% in Nov'23. Salient trade includes: Salient trade includes:

• SOFR Options:
  • +5,000 SFRZ3 94.43/94.68 2x1 put spds, 4-4.5
  • 1,500 SFRZ3 94.25/94.50/94.75/95.00 put condors ref 94.62
  • 8,700 SFRH4 96.00/96.50/97.00/97.50 call condors
  • +3,500 OQU3 95.37/95.75 2x1 put spds, 2.5 ref 95.67
  • +5,000 SFRM4 93.75/94.50 2x1 put spds, 7.5 ref 95.25
  • +3,000 SFRZ3/SFRH4 97.00/97.75 call spd spd, 2.0 net, March over
  • 1,250 SFRZ3 95.00/95.25/95.87/96.12 call condors ref 94.645
  • Block, 4,000 SFRZ3 94.75/95.00 call spds, 4.0 ref 94.655
  • Block, 4,000 OQZ3 97.00/97.25 call spds, 4.0 ref 96.095
• Treasury Options:
  • 1,300 FVV3 108/111.5 call spds,
  • 1,000 TYU3 112.5/114.5/115.5 1x3x2 broken call flys, 18 ref 112-04.5
  • 7,500 FVV3 109.5/110.75 call spds ref 108-05.5
  • 1,000 FVU3 106/107/108 put flys, ref 107-09.25
  • over 26,500 TYQ3 112 puts, 2 ref 112-18.5
  • 6,000 FVU3 107/107.25 put spds 8 ref 107-15.5
  • 5,000 FVQ3 108 calls, 1.5 ref 107-15.25
  • 7,500 TYQ3 113.75 calls, 3 ref 112-18
  • over 5,000 FVU 108.75 calls, 17.5 last
  • 2,000 FVU3 107 puts 31 ref 107-16.25
  • 2,100 TYU3 115 calls ref 112-20.5
  • over 5,200 TYQ3 113 calls, 9-5
  • over 5,000 TYQ3 113.25 calls, 5-2 ref 112-28