Late SOFR/Treasury Option Roundup

Option desks reported mixed SOFR options Friday with a pick-up in low delta puts as underlying futures traded weaker in the short end. Treasury options more consistent upside calls in 5s and 10s on light volumes. Short end underlying futures traded weaker as rate hike projections through year end held steady: 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: 5.445% in Nov'23.

• SOFR Options:
• +8,000 SFRZ3 94.43/94.50/94.56/94.62 put condors, 0.5 ref 94.555
• -5,000 2QZ3/3QZ3 96.50/97.50 call spd spds, 0.5 net credit on bull curve steepener (Blue Dec sold over)
• Block, +10,000 SFRV3 94.56/94.68 2x1 put spds, 1.5
• Block, 6,250 SFRM4 95.00/95.75 call spds, 19.0 ref 94.995
• Block, 5,000 2QM4 96.50/97.25 call spds, 23.0 ref 96.315
• +12,000 SFRZ3 94.56/94.62 call spds, 3.0 ref 94.565
• 3,500 2QV3 96.50 calls ref 96.265
• 2,500 0QV3 94.87/95.25/95.62/95.87 put condors
• Block, -4,000 SFRF4 94.25/94.37/94.62/94.75 put condors, 5.5 ref 94.705
• 4,500 0QU3 95.62/96.12 call spds vs. 2QU3 96.50/97.00 call spds
• 1,500 SFRV3 94.50/94.56/94.62 put flys, ref 94.565
• 2,000 0QV3 95.25/95.50 put spds vs. 96.25 calls ref 95.73

• Treasury Options:
  • over 4,800 TYV3 111 calls, 18 last
  • over 2,500 TYX3 112 calls, 27 last
  • 2,500 FVX3 109.5 calls, 5 last
  • 1,500 FVX3 111 calls, 2
  • 3,000 USV3 114/116 put spds, 6 ref 119-21 to -20