Late SOFR/Treasury Option Roundup: Wing Buyers

SOFR and Treasury option trade remained mixed (better buying in low delta calls and puts) after the FOMC held rates steady while majority of participants see one more hike in 2023 (seven see pause through year end). Rate hike projections into early 2024 inched higher: Sep 20 FOMC is 0.8% w/ implied rate change of +0.02bp to 5.333%. November at 29.0% w/ implied rate change of +7.2bp to 5.40%, December cumulative of 12.9bp at 5.457%, January 2024 14.0bp at 5.468%. Fed terminal at 5.47% in Feb'24.

• SOFR Options:
  • Block, 5,000 0QV3 95.62/95.87 call spds, 4.0 ref 95.40
  • +15,000 SFRM4 98.00 calls, 2.5
  • 2,000 SFRX3 94.31/94.38/94.43/94.50 put condors
  • +8,000 0QH4 94.25/95.25 put spds, 14.5
  • over -3,000 SFRZ3 94.56 straddles, 18.0-18.5
  • +5,000 SFRM4 96.00/97.00 call spds, 8.0 (+20k+ Tue at 7.5, position >80K)
  • +39,955 0QV3 95.62/95.87 call spds, 5.0 ref 95.47 (well above open interest of 12k and 19k resp)
  • +2,000 SFRZ3 94.56/94.68 call spds, 4.25 ref 94.54
  • +3,000 0QX3 96.00/96.50 call spds 4.5
  • +3,000 SFRM4 94.75/95.75 call spds, 22.25 ref 94.825
  • +3,000 SFRZ3 94.43/94.56/94.68 call flys, 2.0 ref 94.54
  • 8,250 0QZ3 95.25 puts, ref 95.45
  • 2,000 2QZ3 96.62/97.12 call spds ref 96.075
  • 1,000 SFRZ3 95.00/95.5 1x2 call spds ref 94.54
  • 1,000 SFRZ3 94.37/94.43 put spds
• Treasury Options: (Reminder: October options expire Friday)
  • +10,000 TYX3 106/108 put spds, 20 vs. 109-06.5/0.20%
  • -3,000 USX3 114 puts, 22 ref 118-25
  • 3,500 TYX3 112.5 calls, 19 ref 109-15.5
  • 4,000 TYZ3 106.5/112.5 strangles, 38 ref 109-13.5
  • +5,000 TUZ3 100 puts, 1.5
  • +5,000 TYZ3 106.5 puts, 21-23
  • 4,500 FVZ3 111 calls, 2
  • over 7,200 TYV3 110.25 calls, 3 last
  • over 6,200 TYV3 109.5 calls, 14 last
  • over 5,600 TYV3 110 calls, 4-5 ref 109-07 to -08
  • 3,000 TYX3 110.5 calls, 26 last
  • 1,100 TYZ3 107/111.5 strangles ref 109-05.5
  • 1,300 USV3 119 calls, 17 last