Late SOFR/Treasury Option Roundup, Mixed on Heavier Volume

SOFR and Treasury option trade remained mixed on the best volumes of the week Wednesday. Traders reported slightly better call interest from late morning on as underlying futures rebounded from a knee-jerk sell-off following the August CPI data. Rate hike projections through year end receded: Sep 20 FOMC is 2.3% w/ implied rate change of +0.06bp to 5.338%. November cumulative of +10.4p at 5.436, December cumulative of 12.2bp at 5.454%. Fed terminal at 5.45% in Jan'24.

• SOFR Options:
  • 7,500 SFRZ3 97.25 calls, 1.0 ref 94.55
  • Block, total 20,000 SFRH4 94.87/95.37 call spds, 7.75 splits ref 94.695 to -.70
  • Block, total 10,000 SFRZ3 94.50/94.62 put spds, 6.75 vs. 94.54/0.18%
  • Block, 5,000 SFRZ3 95.50 puts. 98.5 vs. 8,750 SFRU4 95.25 puts, 50.0
  • +5,000 0QZ3 96.00/96.25 call spds, 5.25
  • +5,000 SFRU4 95.25/95.50/95.87/96.12 call condors, 3.75
  • +2,000 SFRZ4 95.62/96.62 call spds, 29.75-30
  • -7,000 SFRV3 94.56/94.62/94.68/94.75 call condors 2.5-2.25
  • 3,000 SFRU4 97.50/97.75 call spds ref 95.265
  • 4,000 0QZ3 95.25/95.38/95.50/95.62 put condors
  • 2,000 0QV3 95.5/2QV3 96.12 put spds
  • 8,000 SFRX3 94.38/94.50 put spds ref 94.54 to -.545
  • 2,200 0QU3 95.25/95.38/95.62 broken call trees ref 95.215
  • over 3,900 0QU3 95.31/2QU3 96.18 call spds
  • 3,500 0QZ3 95.38 puts ref 95.55
  • 2,000 0QZ3 96.50/96.75 call spds ref 95.55
  • 3,000 SFRM4 94.38/94.75/95.00 broken put trees ref 94.905
  • 1,000 SFRZ3 93.87/94.00 put spds ref 94.54
  • 1,000 SFRM4 94.25/94.75 put spds, ref 94.905
  • over 4,400 0QU3 95.06/95.12/95.18 put trees ref 95.225
• Treasury Options:
  • +10,600 TUX3 101.12/102.12 call over risk reversals, 0.0 ref 101-18
  • 11,000 FVV3 106.5 106.75/107.25 call spds
  • Block, 11,000 TYV3 109 puts, 13 vs. 109-24/0.18%
  • -10,000 TYV3 109.25 puts, 25 vs. 109-13.5/0.32%
  • over 22,000 FVX3 106 calls
  • over 22,100 TYV3 108.5 puts, mostly from 9-10, trades 6 last ref 109-24.5
  • 17,700 wk5 10Y 111/112/113 call flys ref 109-18 to -17.5
  • 1,200 TYV3 110.5/111.25 call spds 9 ref 109-20.5
  • 2,500 USX3 122/123 call spds ref 119-00
  • over 5,000 FVX3 107 calls, 20.5-21 ref 106-01
  • over 13,400 TYV3 108.5 puts, 9-10 ref 109-21
  • 2,500 wk3 10Y 110 calls 13 ref 109-21
  • 1,250 TYV3 108.75 puts, 12 ref 109-22.5