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SOFR/Treasury Option Roundup

US TSYS

Limited FI option trade overnight with London closed for bank holiday. Treasury options mixed following Sep'23 quarterly expiration, Oct'23 call buying outpacing downside puts so far. Underlying futures trading mixed, curves flatter with short end weaker. Rate hike projections through year end are gaining: Sep 20 FOMC is 22.8% w/ implied rate change of +5.7bp to 5.386%. November cumulative of +16.8bp at 5.496, December cumulative of 16.4bp at 5.493%. Fed terminal climbs to 5.50% in Nov'23.

  • SOFR Options:
    • 2,000 SFRF4 94.18/94.37/94.56 put flys
    • 2,000 0QV3 95.00/95.25 put spds vs. 2QV3 95.37/95.62 put spds
  • Treasury Options:
    • over 10,900 TYV3 111.5 calls, 17 last
    • over 3,600 TYV3 108.5 puts, 21 last
    • over 6,500 FVV3 106 puts, 30 last
    • over 3,700 FVX3 106 calls, 56.5-57
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