Late SOFR/Treasury Option Roundup

Option desks reported continued upside call trade in SOFR options Tuesday while Treasury option trade was more mixed after a pick-up in 5- and 10Y puts overnight. Curves flattened (2Y10Y -3.971 at -70.663) as short end futures held weaker levels in late trade. As such, rate hike projections through year end inched higher: Sep 20 FOMC is 16% w/ implied rate change of +4bp to 5.369%. November cumulative of +11.6bp at 5.445, December cumulative of 10.8bp at 5.437%. Fed terminal at 5.44% in Nov'23.

• SOFR Options:
  • Block, 8,000 SFRU4 99.00/100.0 call spds 2.5 ref 95.355
  • 2,100 SFRH4 96.00/97.00/98.00 call flys ref 94.73
  • Block, total 12,000 0QZ3 97.25 calls, 4.0 vs. 95.70 to -.695/0.08%
  • Block, 2,500 SFRV3 94.56/94.62/94.68/94.81 call condors, 1.5 ref 94.575
  • 2,000 0QU4 97.00/97.50 call spds ref 96.115
  • 2,500 SFRZ3 94.68/95.00 call spds ref 95.575
  • 5,000 SFRZ3 94.68 calls ref 94.575
  • 5,100 SFRZ3 94.56 calls ref 94.575
• Treasury Options:
  • 6,000 TYV3 116 calls, 2 ref 109-18.5
  • 5,000 TYZ3 106/106.5 put spds, 4 ref 109-16.5
  • 4,000 USV3 110/114 put spds, 29 ref 118-12
  • 2,250 TYX3 110/113 1x2 call spds ref 109-15.5 to -16
  • 2,400 FVZ3 107.5 calls, 37.5 ref 106-00.5
  • 2,000 FVZ3 106 straddles, 219.5 ref 106-00
  • 5,250 TYU3 109.5 calls, 17 last
  • 5,000 TYU3 109/110 put spds ref 109-06
  • 5,500 FVV3 107.5/108.5 call spds
  • 2,000 FVV3 104.75/105.25/106.5 2x3x1 broken put flys ref 106-03.75
  • 2,000 FVV3 104.5/105/106 2x3x1 broken put flys ref 106-03.75