Late SOFR/Treasury Option Roundup: Mixed Flow, Projected Rate Hike Soft

FI option trade remained mixed Monday, SOFR options pared but leaning slightly toward low delta puts (new and position rolls or unwinds) while Treasury options leaned toward calls as underlying futures see-sawed off lows to near top end of the range. Rate hike projections through year end receded from early highs: Sep 20 FOMC is 12% vs. 16% early w/ implied rate change of +3bp to 5.359%. November cumulative of +9.1bp at 5.419, December cumulative of 4.9bp at 5.377%. Fed terminal at 5.415% in Nov'23.

• SOFR Options:
  • 9,500 SFRU3 95.75 puts, 1.15 vs. 94.60 / parity
  • 3,000 SFRH4 93.75 puts, 2.0 ref 94.93
  • Block, 6,250 SFRM4 94.25/94.5 put spds, 5.0 ref 95.305
  • Block, +5,000 SFRU3 94.12/94.50 put spds, 1.5 ref 94.595
  • 2,000 SFRQ3 94.62/94.68 1x2 call spds
  • -12,250 SFRU3 94.50 puts 1.75 ref 94.595 at 0910:43ET
  • 9,250 SFRH4 94.00/95.25 2x1 put spds ref 94.92
  • 3,750 SFRH4 94.00/95.25 put spds
  • +10,000 SFRZ5 95.00/95.50/96.00 put flys, 4.5 ref 96.46
  • +2,000 2QU34 96.75/97.00/97.25/97.50 call condors
  • 7,000 SFRH4 94.50 puts, 14 ref 94.885
  • over 3,700 0QM3 110 puts, 12 last
  • over 4,000 0QM3 111 puts, 39 last
  • over 8,400 0QM3 111.75 calls, 13 last
  • over 5,100 2MQ3 112/112.25 call spds ref 110-24
  • Block, 2,500 0QQ3 95.37/95.43 put spds, 1.5 ref 95.63
• Treasury Options:
  • +21,800 TYw2 111.5/112.5 call spds, 15 ref 111-03.5
  • +8,000 FVU3 108.5/109/109.5 call flys, 1.5 vs. 106-27.25 to -27/0.08%
  • 3,000 FVU3 108 calls, 10.5 ref 106-28
  • Update, +25,000 wk2 FV 107.5/108/108.5 call flys ref 106-20.75
  • 3,800 FVU3 108.5 calls, 5.5
  • +2,500 TYU 109.5 puts, 20
  • 2,000 TYX3 115/117/119/121 call condors ref 111-08
  • over 4,600 TYU3 109 puts, 13 last
  • over 5,300 TYU3 110 puts, 29 last
  • over 6,000 FVU3 106.5 puts, 23.5-30 ref 106-27.75