Late SOFR/Treasury Option Roundup: Puts to the Fore

FI option trade segued from mixed to better downside puts Wednesday as underlying futures traded weaker after July FOMC minutes deemed more hawkish than anticipated. Rate hike projections through year end are steady to mildly higher, Sep 20 FOMC is 11% w/ implied rate change of +2.7bp to 5.356%. November cumulative of +10.6bp at 5.435, December cumulative of 9.1bp at 5.420%. Fed terminal holds at 5.43% in Nov'23.

• Treasury Options:
  • 3,900 USV3 112/114/116/118 put condors, 28 net ref 119-23
  • Update, over 18,800 TYU3 108.5 puts, 9-10 last ref 109-19
  • over 13,600 wk3 TY 109 puts, 4 ref 109-21.5
  • 4,000 USV3 112/116 put spds ref 119-31
  • 5,000 USV3 114 puts, 24 ref 120-05
  • over 11,200 FVU3 107 calls, 5 last ref 106-00.75
  • 15,000 FVV3 106.5/107.25/107.75 broken call trees ref 106-21.25
  • over 6,800 FVV3 107.5 calls, 26
  • over 5,300 FVV3 106.5 calls, 48 last
  • over 5,900 TYU3 109.5 puts, 17 last
  • 2,600 TYU3 112 calls, 4 ref 110-02.5
  • 4,000 TYX3 113 calls, 35
• SOFR Options:
  • Block, 20,000 SFRV3 94.31/94.43 put spds, 2.25-2.50 ref 94.585
  • over 8,500 SFRZ3 98.25 calls, .75 ref 94.605
  • over 6,100 TYV3 110 puts, 54 last ref 110-08 to -08.5
  • +4,000 SFRH4 97.00 calls, 5.0 vs. 94.78/0.06%
  • 22,000 SFRZ3 94.31/94.37/94.38/94.43 put condors ref 94.615
  • 4,000 SFRV3 95.25 calls, ref 94.625
  • 2,900 SFRZ4 94.25 puts ref 95.82 to -.825