Late SOFR/Treasury Option Roundup

FI option trade remained mixed through Thursday's session, SOFR options seeing slightly better low delta call and call spreads in the second half. Reminder, Sep SOFR options expire Friday, seeing a steady trickle of position unwinds and position rolls. Underlying futures trading firmer in the short end vs. weaker long end. Rate hike projections through year end cooling slightly: Sep 20 FOMC is 2.3% w/ implied rate change of +0.06bp to 5.338%. November cumulative of +8.8p at 5.420, December cumulative of 10.8bp at 5.439%. Fed terminal has slipped to 5.435% in Jan'24.

• SOFR Options:
  • Block, 7,270 SFRZ4 97.25/97.75 call spds 5.5 ref 95.565
  • -15,000 SFRH4 96.00/97.00/98.00 call flys, 1.75
  • Block, 6,000 SFRX3 94.43/94.56 put spds, 5.5 vs. 94.535/0.22%
  • +2,500 SFRU4 96.25/97.75/99.25 call flys, 11
  • 6,700 SFRH4 94.87/95.25 call spds ref 94.685 to -.675
  • 4,000 SFRZ3 94.37/94.43/94.50 put flys
  • 2,000 SFRX3 95.06 calls, 1.75 ref 94.545
  • 5,700 SFRZ3 95.56 calls, 2.0 ref 94.545
  • 6,000 SFRH4 94.43/94.62 ref 94.68
  • 3,000 0QU3 96.00/96.25 put spds ref 95.27
  • 2,500 SFRU3 98.25/98.50 call spds ref 95.265
  • 4,000 SFRV3 94.25/94.50 put spds ref 94.545
  • 3,500 SFRV3 94.62 calls, 2.5 last
• Treasury Options:
  • 4,700 TYV3 111/111.5 1x2 call spds, 1 ref 109-31
  • over +14,700 TYX3 109.5 puts, 47 ref 110-00
  • 6,000 FVV3 106 puts puts, 11 ref 106-11.75
  • 7,500 TYV3 109 puts, 7 ref 110-05.5
  • over 3,000 TYV3 110 puts, 27 ref 110-05.5
  • over 6,300 wk3 TY 109.5puts, 2 ref 110-01.5
  • over 5,700 wk3 FV 106.5 calls, 1 ref 106-02.75
  • 2,000 TUV3101.75 calls ref 101-19.62
  • over 3,100 TYV3 109 puts, 9 last
  • 2,000 FVV3 105.75 puts, 8.5 ref 106-10.25