Late SOFR/Treasury Option Roundup: Calls Fade Underlying Sale

Better SOFR call structure trade carried over from overnight through the NY session. Treasury options saw a late pick-up in call trade from mixed in the first half. Underlying futures remain weaker, but off contract lows (TYU3 109-04.5 vs. 108-31low). Rate hike projections through year end gained some traction on the move in futures, Sep 20 FOMC is 12% w/ implied rate change of +3bp to 5.359%. November cumulative of +11.1bp at 5.44, December cumulative of 9.6bp at 5.425%. Fed terminal at 5.44% in Nov'23.

• SOFR Options:
  • Block/screen, over 10,600 SFRX3 94.56/94.62/94.68/94.81 broken call condors, 1.5 ref 94.61 to -.60
  • 1,750 SFRZ3 94.75/94.87 call spds vs. SFRZ3 94.12/94.25 put spds
  • 2,000 SFRZ3 95.00 calls, ref 94.605
  • 2,500 SFRX3 94.37 puts ref 94.60
  • 2,000 SFRX3 94.62/94.87/95.37 broken call flys ref 94.615
  • 2,000 SFRV3 94.56/94.75/95.06 broken call flys ref 94.615
• Treasury Options:
  • over 19,000 TYU3 110 calls, 7 ref 109-03 to -04, total volume over 43k
  • 13,000 TYV3 113.5/TYX3 115 call spds
  • Block, 8,000 TYX3 114.5/116 call spds 2 over TYV3 113/114 call spds
  • 3,250 TYV3 109.5 puts, 56 ref 109-27.5, 7,725 total from 52 low
  • 2,600 FVU3 106 calls, 12.5 last
  • 5,300 TYV3 108 puts, 25
  • 4,700 TYU3 110 calls, 12 last
  • 4,500 TYU3 108.5 puts, 7 last