SOFR/Treasury Option Roundup

Overnight SOFR/Treasury option trade mostly centered on low delta puts, put spreads as underlying futures trade weaker, hugging low end overnight range. Rate hike projections through year end are treading water: Sep 20 FOMC is 3.8% w/ implied rate change of +0.09bp to 5.338%. November cumulative of +9.2p at 5.420, December cumulative of 12.1bp at 5.449%. Fed terminal at 5.445% in Jan'24.

• SOFR Options: Reminder, Sep SOFR options expire today
  • over 3,100 SFRM4 95.50/97.00 call spds ref 94.90
  • 2,260 SFRU3 94.75 puts, 15.0 last
  • 2,890 SFRX3 94.37 puts, 1.5 last
  • 1,800 SFRX3 94.18/94.43 put spds
  • 1,000 SFRH4 94.56/94.62/94.68/94.75 put condors
• Treasury Options:
  • over 5,100 FVV3 105.5 puts, 7 ref 105-30.75
  • over 6,300 TYV3 109 puts, 13 last
  • 1,700 TYX3 109 puts, 38 ref 109-16.5
  • 1,000 FVZ3 104.5/105.25/106 put trees ref 106-00.25
  • over 7,100 USV3 117 puts, mostly 13 ref 118-25
  • 1,500 TYX3 111.5/113 call spds ref 109-27.5