Late SOFR/Treasury Option Roundup

Light option trade Friday rotated around better upside 5Y, 10Y and 30Y Treasury calls as underlying futures bounced off Thursday's lows (TYU3 marked 109-28.5 high, yield 4.2133% low). Meanwhile, rate hike projections through year end receded slightly, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.1bp at 5.42, December cumulative of 6bp at 5.389%. Fed terminal slips to 5.415% in Nov'23.

• Treasury Options:
  • 4,000 TYV3 114.5 calls, 7 ref 110-06.5
  • over 7,400 TYV3 112 calls, 24 ref 110-00.5
  • 2,000 TYU3 111.75 calls, 3 ref 109-19.5
  • 2,000 USU3 123.5 calls, 4 ref 119-02
  • over 6,500 FVV3 108 calls, 14.5-15 ref 106-14.25 to -12
  • over 10,300 3MQ3 110 calls, 6-8 ref 109-27.5 to -25 (expire today)
  • 4,000 TYU3 111 calls, 7 ref 109-24
  • 2,000 TUU3 101.75 calls, 1.5 ref 101-13.38
  • over 7,000 FVU3 105.5 puts, 8 last, ref 106-00.5
  • 4,000 TYU3 109.5 puts, 26 ref 109-21
• SOFR Option trade remained light
  • Block, 5,000 0QZ3 97.12 calls, 6.0 vs. 95.795/0.10%
  • over 5,000 SFRV3 94.31/94.43/94.50/94.62 put condors ref 94.625 to -.63
  • 2,000 SFRX3 94.93 puts ref 94.63