Late SOFR/Treasury Option Roundup, SOFR Calls Fade FI Selloff Pre-FOMC

Early SOFR put structures hedging year end to early 2024 rate hike risk segued to better upside call structure buying Tuesday. Meanwhile, Treasury options saw a gradual pick-up in 10Y put buying as underlying futures held weaker in the second half in the lead-up to Wed's FOMC rate annc. Rate hike projections through year end were static: Sep 20 FOMC is 0.8% w/ implied rate change of +0.02bp to 5.333%. November cumulative of +7.4p at 5.405, December cumulative of 11.3bp at 5.443%. Fed terminal at 5.445% in Jan'24.

• SOFR Options:
  • over +21,000 SFRM4 96.00/97.00 call spds, 7.5 ref 94.84 to -.83 *ongoing
  • Block, 10,000 SFRZ4 98.00/98.25 call spds 2.0 vs. 95.475/0.05%
  • Block, 16,000 SFRZ3 94.62/94.87/95.00 call flys, 2.5 ref 94.54
  • Update, over +15,000 SFRH4 95.25/96.00 call spds, 8.5 vs. 96.125/0.35%
  • +7,500 2QV3 96.25 calls, 8.5 vs. 96.125/0.35%
  • 2,500 SFRH4 95.25/96.00 call spds ref 94.63
  • 1,400 SFRU4 96.00/96.25/97.00/97.25 call condors, 1.5 ref 95.115
  • -8,000 SFRH4 94.00/94.12/94.37 broken put flys, 4.0 net/wings over
  • Block, 5,000 SFRV3 94.00/94.37 put spds, 0.5 ref 94.54
  • 2,000 SFRV3 94.87 calls, 1.0 last
  • Block/screen, 2,500 SFRM4 94.25/95.00 2x1 put spds, 26.5 ref 94.855
  • 10,000 0QZ3 95.37/95.75 3x2 put spds ref 95.49 to -.495
  • 1,000 SFRG4 93.87/94.25 2x1 put spds ref 94.64
  • 9,200 2QZ3 95.75 puts, 10.0 ref 96.145
• Treasury Options:
  • +7,000 TYX3 109 puts, 50 vs. 109-08/0.44%
  • 2,000 TYX3 105.5/107.5 put spds 14 ref 109-11
  • 2,300 TYZ3 111.5 calls, 29 ref 109-09.5
  • over 8,000 TYV3 109 puts, 16 last ref 109-06
  • over 9,500 weekly 10Y 110.75 puts, 136 ref 109-06
  • 3,000 TYX3 110/111.5 call spds
  • 3,200 TYV3 109.5 puts, 21 last
  • 2,800 TYV3 110.5 calls, 3 last