Late SOFR/Treasury Option Roundup

Solid FI option volumes Tuesday, focus on low-delta puts, put spreads carried over from overnight, some accounts taking advantage of underlying rally to buy cheaper puts. Rate hike projections through year end are mixed: Sep 20 FOMC is 12% w/ implied rate change of +3bp to 5.359%. November cumulative of +8.5bp at 5.414, December cumulative of 4.8bp at 5.377%. Fed terminal at 5.415% in Nov'23. Reminder: serial August options expire Friday.

• SOFR Options:
  • Blocks, 10,000 SFRZ4 95.25/95.75/96.25 put flys, 6.5 net
  • +8,000 SFRM4 93.00/93.75 put spds, 2.5 ref 95.31
  • -5,000 SFRZ3 94.37/94.62 put spds, 9.5
  • -2,500 SFRU4 95.75 straddles, 117.5
  • 2,500 SFRZ3 99.25/99.75 put spds
  • 4,500 3QU3 97.50 calls, 1.5 ref 96.635
  • Block, 5,000 SFRZ4 93.25/94.25/95.25 put flys, 15.5 ref 96.085
  • Block, 6,000 SFRV3 95.00/95.50/98.00 broken call flys, 0.75 net ref 94.66
  • -19,000 SFRM4 94.00/95.00 2x1 put spds ref 95.34 to-.355
  • Block, 5,000 OQU3 95.25/95.50/95.75 put flys, 6.0 vs. 95.78/0.10%
  • 4,500 SFRU3 94.50 calls, 12 ref 94.605
  • 3,000 SFRM4 94.00/95.00 2x1 put spds, ref 95.34
  • 1,650 OQQ3 96.00/96.12/96.25 1x3x2 call flys ref 95.76
  • 2,000 SFRH4 93.75/94.00/94.25 put flys
  • Block, 2,000 OQZ3 95.25/96.00 3x2 put spds vs. 4,000 OQZ3 97.00 calls, 17.5 net/put spd over
  • 3,000 OQZ3 95.75 puts ref 96.09
  • 3,300 SFRF4 94.50 puts ref 94.955
  • Block, 2,650 SFRZ5 95.00/95.50/96.00 put flys, 4.5 ref 96.55
  • 1,500 OQU3 95.25/95.50/95.75 put trees, ref 95.755
  • Block, 4,000 0QV3 95.62/95.87 put spds 8.5 vs. 96.08/0.15% vs.
  • Block, 4,000 2QV3 96.12/96.37 put spds, 8.0 vs. 96.56/0.15%
  • 2,000 2QQ3 96.25/96.50/96.75 call flys ref 96.54
• Tsy Options:
  • 5,000 FVV3 107.75 puts ref 107-22.5
  • 3,000 USU3 124.5 calls, 43 ref 122-17 to -19
  • 2,000 TYU3 113/113.5 1x2 call spds, 9 net/2-leg over ref 111-14.5
  • 5,000 TYU3 109.5/110 put spds
  • over 11,700 TYU3 113 calls, 18-20 ref 111-22
  • over 33,000 TYU3 109/110 put spds, 8-9 ref 111-15.5 to -18
  • over 11,800 TYV 113 calls, 48-54 ref 111-31 to 112-03.5
  • 2,500 TYU3 111.25 calls, 42 ref 111-14
  • 1,000 USV3 114/116/117/119 put condors ref 123-03
  • 1,250 USU3 119.5/123 put spds, ref 122-19