Late SOFR/Treasury Option Roundup

Early put trade segued to upside call structure trade Tuesday, despite underlying futures continued decline to new lows in late trade. TYZ3 back near last Tuesday levels at 109-31 (-19.5). Rate hike projections through year end soft, Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +12bp at 5.451, December cumulative of 11.3bp at 5.444%. Fed terminal at 5.45% in Nov'23.

• SOFR Options:
  • +2,000 SFRM4 95.00/96.50/98.00 call flys 4.25 over 2QM4 96.25/97.00/97.75 call flys
  • 8,100 0QU3 95.31/95.50/95.56/96.12 broken call condors
  • Block, total 10,000 SFRH4 94.50/95.50 call over risk reversal, 0.0 ref 94.76/0.53%
  • 4,500 SFRM4 96.00 calls, ref 95.04
  • Block, 2,500 SFRU3 94.25/94.50 put spds, cab ref 94.5875
  • 1,250 SFRU3 94.50/94.75/95.00/95.25 put condors ref 94.59
  • 10,000 SFRH4 95.00/95.12 call spds ref 94.755
  • 6,500 SFRX3 94.62/94.81/94.87/95.37 broken call condors
  • 6,000 0QZ3 95.75/96.00 put spds ref 95.75
  • Block, 4,000 SFRV3 94.12 puts, .5
  • 3,500 SFRM4 94.37/94.75/95.00 broken put trees, ref 95.065
• Treasury Options:
  • 5,500 TYX3 113 calls, 17 ref 110-02
  • 1,500 TYV3 113/115 call spds ref 110-07
  • 5,200 TYV3 108.5 puts ref 110-09.5
  • 4,000 TUV3 101.5 puts, 6.5
  • 2,000 TUV3 101.75 puts, 12.5
  • over 5,000 USV3 115/116.5 put spds