Late SOFR/Treasury Option Roundup: Better Puts ahead NFP

Better put trade reported on net Thursday though overall volumes remain subdued after the BOE 25bp hike (expected). Underlying futures see-sawed near session lows, curves bear steepened to three month highs in the lead-up to Friday's July employment data. Little change in rate hike projections through year end, Sep 20 FOMC is 17% w/ implied rate change of +4.3bp to 5.371%. November cumulative of +9bp at 5.419, December cumulative of 6bp at 5.389%. Fed terminal holding at 5.42% in Nov'23.

• SOFR Options:
  • Block 5,000 SFRZ3 94.50/94.62 put spds 2.5 over SFRZ3 94.75/95.00 call spds ref 94.62
  • -10,000 SFRU3 94.56/94.62/94.75 put trees, 6.75
  • 5,200 SFRZ3 94.68 straddles, 33.0
  • 12,000 SFRV3 94.50 puts, ref 94.63 to -.625
  • 4,000 SFRX3 94.87 calls ref 94.63
  • 1,000 2QQ3 96.00/96.18 3x2 put spds ref 96.32
  • 2,000 2QQ3 96.00 puts, 2.5 ref 96.33
• Treasury Options:
  • Block, +9,106 TYV3 110/114 strangles, 117 ref 110-23.5
  • +5,000 TYU3 108.25/112 call over risk reversals, 1 net
  • Block, 21,000 TYU3 107/108.5 put spds, 11-12 ref 110-13 to -14
  • 1,250 FVU3 107.25/108.25 call spds ref 106-13.5
  • 6,000 TYU3 107/108.5 put spds, 12 ref 110-13
  • over 10,500 TYU3 109.5 puts, 31-34 ref 110-12.5 to -11.5
  • 1,500 USU3 114/117 put spds ref 120-29
  • 1,800 USU3 116/119 put spds ref 121-26