SOFR/Treasury Option Roundup: Sep'23 Tsy Expiration Friday

More consistent (if not exceptionally large) upside SOFR call trade overnight, carry-over from Wednesday even as underlying futures pare some of yesterday's gains. Meanwhile, take away the soon to expire Sep'23 Treasury options makes volumes particularly scant so far. Rate hike projections through year end are gaining slightly with short end trading weaker, Sep 20 FOMC is 16% w/ implied rate change of +4bp to 5.369%. November cumulative of +11.6bp at 5.445, December cumulative of 10.1bp at 5.430%. Fed terminal up to 5.445% in Nov'23.

• SOFR Options:
  • 2,000 0QU3 96.00/96.50 call spds vs. SFRV3 93.87/94.37/94.50 broken put flys
  • 4,000 0QZ3 96.00/96.25/96.50 call flys ref 95.735
  • 4,500 SFRM3 95.75/97.00 2x3 call spds ref 95.07
  • 3,200 SFRZ3 94.68/94.81/94.93 call flys ref 94.58
  • 2,100 SFRZ3 94.93 calls ref 94.58
• Treasury Options: Reminder, Sep'23 options expire Friday
  • 2,000 TYU3 108/108.5/109 put flys ref 109-26.5
  • 3,100 TYX3 112 calls, 45 ref 110-11.5
  • 14,300 TYU3 109.5 puts, 11
  • 19,400 TYU3 109 puts, 3-4
  • 13,900 TYU3 108.5 puts, 2
  • 4,800 TYU3 108 puts, 1