Late SOFR/Treasury Option Roundup: Put Buyers Return

SOFR and Treasury option trade turned mixed after better upside call trade overnight. Put buyers returned as underlying futures gapped lower following this morning's higher than expected ISM Services Index (54.5 vs. 52.5), Prices Paid (58.9 vs. 56.8 prior). Rate hike projections through year end inched high: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +12.5bp at 5.456, December cumulative of 11.8bp at 5.449%. Fed terminal at 5.45% in Nov'23 to Jan'24.

• SOFR Options:
  • +3,000 2QZ3 96.00 puts, 20.0 vs. 96.225/0.38%
  • Block/screen, +8,500 SFRH4 95.00/95.25/95.50/95.75 call condors, 2.0 net ref 94.675
  • Block, 10,000 SFRZ4 98.00/98.12 call spds, 1.25 on splits ref 95.69
  • -8,000 SFRM4 93.50/94.00 put spds 3.5 vs. 94.98 to -.00/0.07%
  • 2,300 SFRV3 94.62/94.75 call spds ref 94.57
  • 3,000 SFRM4 94.12/94.38 put spds vs. 95.50/95.75 call spds ref 95.005
  • 2,000 0QZ3 96.00/96.50 call spds vs. 2QZ3 96.62/97.12 call spds
  • 1,750 SFRZ3 94.75 calls, 7.0 ref 94.57
• Treasury Options:
  • +12,000 TYV3/TYX3 109.5 put spds, 31
  • +12,000 TYV3/TYX3 109.5 call spds, 31
  • 2,400 TYZ3 108/108.5 put spds ref 109-25.5
  • 1,400 USV3 123/123.5 call spds ref 119-06
  • 4,000 FVV3 106.75/107.25/107.5 call trees ref 106-12
  • over 10,500 TYV3 111.5 calls, 11-12 ref 110-01
  • 2,700 TUV3 101.37 puts, 5 ref 101-21.88
  • 5,000 TYX3 108/112 strangles ref 110-00.5 to 110-01.5
  • 3,400 TYV3 108.5/111.5 strangles ref 110-01 to -00.5
  • 4,800 FVV3 107.75/108.5 call spds ref 106-12