US TSYS: Late SOFR/Treasury Option Roundup

Mixed option trade carried over from overnight, lighter volume as futures gave back a portion of Thu's rally. Rate hike projections through year end firm slightly but remain off mid-week highs. Fed funds currently pricing in 91.2% chance of a 25bp hike at the July 26 FOMC, while December cumulative running 26.5bp (31.7bp on Wed) at 5.341%. Traders alert for more Dec'23 upside call spd buying after paper +70k 9487/9500 call spds at 2.5 Thu.

• SOFR Options:
  • 10,000 SFRZ3 96.00/97.00 call spds
  • 2,300 SFRZ3 96.00/97.00 call spds vs. SFRH4 95.50/96.50 call spds
  • --2,000 SFRV3 94.00/94.75/95.50 iron flys, 28.75
  • Block, 5,000 SFRU3 94.87/95.00/95.12 put flys, .25
  • 4,000 SFRZ3 94.12/94.25/94.37 put flys ref 94.715
  • 5,750 SFRU3 94.62/94.68/94.75 call flys
  • 7,000 SFRU3 94.68/95.00 call spds 2.5 ref 94.615
  • 1,000 SFRZ3 94.00/94.12/94.25 put flys vs. 94.25/94.37/94.50 put flys
  • +5,000 SFRZ3 94.87/95.00 call spds, 2.5 ref 94.72, ongoing, appr +100k/wk
  • 1,000 SFRZ5 96.75/97.75/98.25/99.25 call condors ref 96.73
  • 2,000 OQN3 96.00 calls ref 95.95
  • 2,000 SFRU3 94.31/94.43/94.50/94.62 put condors ref 94.61
  • 4,000 SFRZ3 95.00/95.25/95.50 call flys, 1.0 ref 94.71 to -.715
  • 7,000 OQU3 97.00 calls, 3.5 ref 95.94
  • 4,000 SFRH4 94.50 puts ref 95.065
• Treasury Options:
  • 6,000 FVU3 107.25/107.5 put spds ref 107-22.75
  • over 9,500 TYQ3 112 puts, 9 last
  • 2,000 TYU3 111 puts, 28 ref 112-22.5
  • 2,000 TYQ3 109 puts ref 112-20.5
  • 2,500 FVU3 104 puts, 3.5
  • over 14,500 FVU3 109 calls, 1.5 ref 107-25.75
  • 3,100 TYQ3 115 calls ref 112-19.5
  • 2,000 USU3 131 calls, ref 126-26
  • 4,900 FVQ3 107 puts, 6 last
  • 3,500 TYU3 115.5 calls ref 112-23.5
  • 4,000 TYQ3 113.5/114 call spds
  • over 7,800 TYU3 111.5 puts over TYU3 113/114.5 call spds ref 112-25.5