Late SOFR/Treasury Option Roundup

FI option desks reported better SOFR call structure trade on net Friday, fading weaker short end rates following Chairman Powell's balanced "stay the course" speech from Jackson Hole. Sporadic put fly buying as rate hike projections through year end are inched higher were also reported. In late trade, Sep 20 FOMC is 21% w/ implied rate change of +5.2bp to 5.381%. November cumulative of +15.7bp at 5.486, December cumulative of 15bp at 5.479%. Fed terminal climbed to 5.485% in Nov'23-Dec'23 Fed Funds.

• SOFR Options:
  • 10,000 0QZ3 96.62 calls, 8.5 ref 95.645
  • +35,000 SFRZ3 94.68/94.81/94.93 call flys, 0.5 ref 94.54
  • +25,000 SFRZ3 94.75/94.87 call spds 1.0 (+100k from 1-1.25 yesterday)
  • Block, 20,000 SFRV3 94.25/94.43/94.62 put flys, 2.75 ref 94.51
  • 3,000 SFRM4 96.00/97.00 call spds
  • 2,000 SFRV3 94.25/94.50 2x1 put spds
  • Block, 8,000 SFRM4 97.00/97.50 call spds 3.0 vs. 94.925/0.05%
  • 4,000 SFRZ3 94.43/94.50/94.56/94.62 put condors
  • Block/screen, 10,000 SFRU3 94.93 calls, .5 vs. 94.557/0.2%
  • 5,000 SFRU3 94.37/94.50 put spds ref 94.5575
  • 5,000 SFRZ3 94.12/94.25/94.31/94.43 put condors ref 94.54
  • 4,600 SFRH4 97.87 calls, 2.5 ref 94.69
  • 3,000 SFRH4 94.50 puts ref 94.685 to -.69
  • 14,900 SFRH4 95.25 calls vs. SFRH4 94.5/94.75 put spds ref 94.70
  • Block/screen, 5,300 SFRZ3 94.56/94.62/94.68/94.75 call condors 2.0 vs. SFRH4 94.56/94.68/94.75/94.87 call condors 2.5
  • 4,000 SFRZ3 94.25/94.37/94.50 put flys ref 94.55
• Treasury Options: Mostly squaring of Sep'23 options that expire tonight.
  • 8,700 TYU3 111 puts, 146-143 ref 109-08.5 to -10.5
  • over 25,400 TYU3 110 calls 2-3 (8k tied to call fly earlier)
  • over 4,100 FVZ3 104.75 puts, 38 ref 105-30.5 to -30.25
  • 1,500 TYU3 110.25/110.5/110.75/112.25 broken call condors ref 109-07
  • 4,000 TYU3 109.75/110/110.25 call flys
  • 3,000 TYU3 108.5/109 put spds, 4
  • 4,200 FVU3 105.75 calls, 9 ref 105-22
  • 3,000 FVU3 106 puts, 22 ref 105-23.5
  • over 5,000 USU3 118.5 puts ref 119-25