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Early SOFR/Treasury Option Roundup

US TSYS

Much more moderate SOFR/Treasury option volume compared to Thursday's heavy, post FOMC/BOE policy announcements. Latest overnight trade leaning towards low delta puts, put spreads as markets attempt to price the next rate hike. Rate hike projections into early 2024 have receded slightly since Wed's FOMC hawkish hold: November at 26.9% w/ implied rate change of +6.7bp to 5.395%, December cumulative of 12.9bp at 5.456%, January 2024 13.2bp at 5.460%. Fed terminal at 5.46% in Feb'24.

  • SOFR Options:
    • 5,000 0QZ3 94.87/95.12 2x1 put spds ref 95.325
    • 8,000 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.325
    • 12,000 0QV3 95.43 calls, 10.0 ref 95.345
    • 2QV3 95.56/95.81 put spds ref 96.005
  • Treasury Options: Reminder, October serial options expire today
    • over 2,300 USX3 114 puts, 102 ref 116-06
    • 2,000 TYV3 108.5/108.75 put spds, 7 ref 108-16.5
    • 1,500 FVV3 105.75 calls, 1 ref 105-12.5
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