Late SOFR/Treasury Option Roundup, Hedging No Hikes

Derivative desks reported mixed SOFR and Treasury options Tuesday, better calls in the second half despite underlying futures trading mostly weaker again in the second half. Short end rates outperformed as rate hike projections into year end subsided off this morning's post-data highs. Sep 20 FOMC is 11% w/ implied rate change of +2.7bp (3.0bp high) to 5.356%. November cumulative of +9.6bp (11.1bp high) at 5.425, December cumulative of 7.4bp (9.6bp high) at 5.403%. Fed terminal at 5.425% in Nov'23.

• SOFR Options:
  • Block, 8,000 SFRM4 94.50/94.75 put spds 1.5 over SFRM4 95.25/95.50 call spds
  • -13,000 SFRV3 94.37/94.50 2x1 put spds 1.25-1.0
  • +20,000 SFRZ3 95.62/95.37 call spds 1.0 ref 94.605
  • Block, 20,000 SFRM4 97.00/100.0 call spds 1.0 over SFRM4 93.62/94.37 put spds
  • Block, -5,000 0QZ3 95.62/96.00 put spds vs 2QZ3 96.12/96.50 put spds, 1.0 net cr steepener
  • Block, 5,000 SFRH4 94.00/94.12/94.37 broken put flys, 3.75/splits
  • 2,500 SFRV3 94.62/94.75 call spds ref 94.60
  • Block/screen 45,500 SFRZ5 95.00/95.50/96.00 put flys trade, 5.0 ref 96.21
  • Block, 2,500 SFRZ3 94.81/94.93/95.06 put flys, 0.25 net/wings over ref 94.60
  • Block, 3,500 SFRH4 97.00/98.50 call spds vs. 0QH4 98.00/99.50 call spds, 0.5 net, short Mar over
  • 2,000 SFRV3/SFRZ3 94.68 call spds
  • 1,500 2QH4 97.00/97.50 call spds
  • 6,750 SFRU3 95.00 calls, .75 ref 94.59
  • 6,800 SFRU3 95.50 calls, .5 ref 94.59
• Treasury Options:
  • 11,000 TYV3 108.5/112.5 call over risk reversal 3 net vs. 110-15/0.47%
    
  • over 8,800 FVU3 107.5 calls, 2.5 ref 105-28 to -28.75
  • 2,500 TYV3 105/107 put spds ref 109-27
  • 2,000 TYZ3 115.5/117 call spds 8 ref 110-04
  • +2,500 TYU3 109/110 put spds over TYU3 110/111 call spds
  • over 8,000 FVU3 105.75/106 put spds, 10 ref 105-28.5 to -29
  • 1,000 USU3 115/117/119 put flys, 22
  • over 11,000 TYU3 109 puts, 19-20 ref 109-24 to -21.5
  • 2,300 FVU3 107.5 calls, 2.5 ref 105-29.25
  • 8,250 FVV3 108 calls, 14 ref 106-15
  • 5,500 FVV3 109 calls, 6.5 ref 106-15
  • 3,000 TYU3 109.25/109.75 put spds vs 110.75 calls