Early SOFR/Treasury Option Roundup

Better put volumes on net overnight, fading the carry-over support in underlying futures ahead of tomorrow's key CPI data. Salient trade is Dec'23 SOFR put condor hedging two 25bp rate hikes by year end. On the flipside, Green Dec'23 call spd looking for rate cuts to price into late 2025 futures.

• SOFR Options:
  • 32,700 SFRZ3 93.50/93.75/94.00/94.50 broken put condors ref 94.665 to -.65, checking premium
  • 1,000 SFRQ3 94.37/94.43/94.50 put flys ref 94.59
  • 3,000 SFRN3 94.37/94.50/94.62 put flys ref 94.585
  • 8,000 2QZ3 98.00/98.50 call spds, 2.0 ref 96.44 to -.425
  • 2,000 SFRH4 95.37/95.62/95.87/96.12 call condors ref 94.915
• Treasury Options:
  • over 6,100 TYQ3 110.5/111.25 put spds vs. TYQ3 112.25 calls ref 111-15
  • 3,000 TYQ3 109 puts, 4 ref 111-15
  • 2,000 TYU3 108.5/109.5 put spds, 14 ref 111-13.5
  • 2,000 TYU3 109.5/110.5 put spds, 20 ref 111-12
  • 2,300 TYQ3 112 calls, 23 ref 111-10
  • 1,000 TYU3 108.5 puts ref 111-09.5
  • 1,000TYQ3 113 calls ref 111-08