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Late SOFR/Treasury Option Roundup, Call Buyers Fade Projected Hikes

US TSYS
Fading the sell-off in underlying futures Wednesday, SOFR option accounts looked to hedge softer policy in the near term as a projected 25bp rate hike in Jul or Sep gained momentum. Chances of a hike gained as well, but to a lesser degree on the day, nevertheless, paper bought over 33,000 Jun'23 SOFR 94.81/94.87 call spreads at 1.0 on the day (June options expire two days after the FOMC annc). Certainly more airtime in the approximately 45,000 Dec'23 SOFR 96.00/97.00 call spds bought from 10.0-10.5 with underlying futures at 95.00.
  • SOFR Options:
    • over +45,000 SFRZ3 96.00/97.00 call spreads 10.00-10.5
    • Block, 9,750 SFRM3 94.56/94.68/94.75 broken put flys, 1.75 ref 94.725
    • 1,000 SFRM3 94.62/94.68/94.75/94.81 put condors ref 94.7325
    • 33,000 SFRM3 94.81/94.87 call spds, 1.0 ref 94.7475
    • Block/screen, 5,000 SFRU3 94.25/94.50 put spds, 4.5 ref 94.79
    • Block, 5,000 SFRM3 94.87/94.93 call spds, 0.5 vs. 94.76/0.08%
    • 3k SFRZ 96.25 and 96.75 calls vs. 1,500 SFRZ3 97.00 and 97.50 calls, Checking
    • 1,000 SFRZ3 94.62/96.00 strangles ref 95.05
    • 2,000 SFRN3 94.93 calls ref 94.79
    • 2,000 SFRQ3 93.12 puts, .5 ref 94.80
    • 1,500 SFRH3 94.50/94.75 put spds ref 95.475
    • 3,650 SFRM3 94.75/94.81/94.87 put flys, ref 94.75
    • 1,500 SFRM3 94.50/94.68 call spds, ref 94.75
  • Treasury Options:
    • 2,500 FVQ3 109.5/110.5/111 broken call flys ref 108-05.25
    • 2,000 FVQ3 110/112 1x3 call spds ref 108-05.25
    • +15,000 TYU3 110 puts, 32 vs. 113-05/0.21%
    • -12,600 FVQ3 110 calls, 15-15.4 ref 108-04.5 to -03.75
    • 3,000 FVN3 107/108
    • 2,000 TYN3 110/111.5 put spds, 5 ref 113-14
    • 3,000 TYQ3 111/112.5 put spds, 23 ref 113-15.5
    • 2,500 TYN3 112.5 puts, 20 ref 113-14.5
    • 3,600 TYN3 111/112 put spds, 6 ref 113-22.5
    • over 4,000 TYQ3 114 calls, 104 last
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