Late SOFR/Treasury Option Roundup

Mixed FI options trade remained mixed Monday, overall volumes improved as SOFR and Treasury puts outpaced calls by midmorning as underlying futures sold off. Second half derivatives trade turned muted as underlying futures bounced off lows but remained weaker in the short end. Rate hike projections through year end firmed slightly, Sep 20 FOMC is 11% w/ implied rate change of +2.7bp to 5.356%. November cumulative of +10.1bp at 5.430, December cumulative of 8.4bp at 5.410%. Fed terminal climbed to 5.43% in Nov'23.

• SOFR Options:
  • Block, total 20,000 SFRH4 94.00/94.37 put spds vs. SFRM5 94.75/95.00 put spds, 6.5 net, Red Jun'25 over
  • Block, total +20,000 SFRH4 94.87/95.37 call spds vs. SFRM5 96.50/97.00 call spds, 7.5 net, Red Jun'25 over
  • Block, 5,000 SFRZ4 95.25/95.75/96.25 put flys, 6.5 ref 95.775
  • 2,500 0QU3 95.37/95.50 put spds
  • +5,000 SFRZ3 94.37/94.62/94.75 broken put tree, 5.25/1-leg over
  • +3,000 SFRH4 97.00/98.50 call spds .75 over 0QH4 98.00/99.50 call spds, .75
  • 7,000 2QU3 97.37/97.50 call spds ref 96.245
  • 1,500 SFRZ3 94.75/95.25 call spds ref 94.59
  • 5,000 SFRF4 94.18/94.37/94.56 put flys ref 94.83
  • Block/screen, 8,000 SFRM4 96.00/97.00/98.00 call flys, 7.0 ref 95.18
  • Block, 2,500 SFRZ3 95.75 calls, 4.0 vs. 94.63/0.09%
  • 6,000 0QV3 95.62/95.87 put spds vs. 2QV3 96.12/96.37 put spds,
  • 2,000 SFRV3 94.25/95.37 strangles or combos, ref 94.605
  • 1,300 SFRU3 94.25/94.50 put spds ref 94.5875
• Treasury Options:
  • 2,500 FVU3 106.75/107.5/108.25 call flys ref 106-06.25
  • 4,000 TYV3 114/116 call spds
  • 2,000 TYV3 110.5/TYZ3 109 put spds 7 ref 110-19
  • 4,200 FVU3 105.75 puts, 18 ref 106-01
  • 2,000 FVU3 107/107.5 call spds, 3.5 ref 106-05.75
  • over 6,000 3MQ3 109 puts 6
  • 2,400 TYU3 110.25 calls, 35 last
  • over 6,700 TYU3 111 calls, 18-11 109-25.5 last
  • 2,400 TYU3 110 puts, 31 last
  • 1,500 TYU3 108.5/109.5 put spds ref 110-07.5
  • 1,500 TYWQ3 109.5/110 put spds, 11 ref 110-08.5
  • 5,000 FVWQ3 105.5/105.75 put spds, 1 ref 106-06.75