Late SOFR/Treasury Option Roundup

With few exceptions Thursday, better SOFR call trade was reported with underlying futures in Whites trading firmer in late trade. Mixed Treasury options seeing better put volume in 5s, 10s and 30s as bonds lead a curve steepening sell-off, 30Y yield 4.4239% the highest level since Sep 2011. Rate hike projections through year end are firmer following yesterday's more hawkish than expected July FOMC minutes: Sep 20 FOMC is 12% w/ implied rate change of +3.0bp to 5.359%. November cumulative of +10.6bp at 5.435, December cumulative of 8.4bp at 5.413%. Fed terminal at 5.43% in Nov'23.

• SOFR Options:
  • +10,000 0QV3 95.00/95.25 put spds vs. 2QV3 95.37/95.62 put spds, .25 net flattener
  • Block, 5,000 0QZ3 96.87 calls, 7.5 vs. 95.78/0.12%
  • +7,500 OQZ3 95.37/96.00 call-over risk reversals, 8.0 net vs. 95.775/0.70%
  • +10,000 SFRH4 95.50/96.50 call spds, 8.0 ref 94.80
  • Block, 5,000 SFRZ3 94.50/94.81 1x2 call spds vs. 94.60/0.07%
  • 8,000 SFRU3 94.56/94.62 call spds, ref 94.585
  • 2,000 2QH4 97.00/97.50 call spds, ref 96.185
  • 5,000 SFRM4 95.50/96.50 call spds ref 95.075
  • 2,000 0QU3 95.68/95.81 call spds ref 95.425
• Treasury Options:
  • 3,000 TYU3 109.5/110.5/112 broken call flys, 10 ref 109-05.5
  • 7,500 TYU3 110.25/111 1x2 call spds, 3 net ref 109-07
  • 2,300 TYV3 107.5/109.5 put spds 20 over TYV3 112 calls ref 109-24
  • 3,000 TYV3 117 calls, 2 ref 109-23.5
  • 2,000 TYU3 107/108.5 put spds
  • 10,000 TYU3 108.5 puts, 12 ref 109-12.5
  • Block, 30,000 TYU3 107/108.5 put spds, 10 vs. 109-13/0.20%
  • 1,500 TYU3 107.75/108.25/108.75 put flys ref 109-08.5
  • over 3,400 TYU3 110.25 calls, 13 last ref 109-12.5
  • 2,000 TYU3 110.25 calls, 12 ref 109-06.5
  • 3,000 TYV3 108 puts, 28 last
  • 5,000 TYU3 108/109 put spds, 21 ref 109-06.5
  • 1,000 FVX 107.5 calls, 33
  • 2,500 USV3 112 puts, 21 last
  • 2,400 USV3 116 puts, 61 last
  • 4,000 3MQ3 108.5/108.75 put spds ref 109-10.5