Early SOFR/Treasury Option Roundup

Overnight trade leaning toward SOFR put structures and Treasury calls reported on light volume. Curves steeper with underlying futures trading firmer in the short end (3M10Y +6.555 at -100.072, 2Y10Y +5.682 at -62.532). Note 10Y yield back near Fri's 16Y high of 4.5064% at 4.4906% (+.0569). Rate hike projections into early 2024 holding steady/off last week's post-FOMC high: November at 20.7% w/ implied rate change of +5.2bp to 5.379%, December cumulative of 12.1bp at 5.448%, January 2024 12.5bp at 5.453%. Fed terminal at 5.455% in Feb'24.

• SOFR Options:
  • 2,000 0QX3 95.62/95.87/96.12 call trees ref 95.36
  • 1,400 0QH4 95.00/95.25 put spds ref 95.63
  • 1,400 SFRM4 95.25/95.50 call spds ref 94.775
  • 4,000 0QV3 95.31/95.43/95.62 broken call trees ref 95.34
• Treasury Options:
  • over 7,400 TYX3 108 puts, 45 last
  • 2,200 TUX3 101-87 calls, 4.5 ref 101-09.12
  • 2,400 TUX3 101 puts, 7.5 ref 101-09.12
  • 3,900 USX3 114 puts, 62 ref 115-31
  • 2,300 TYX3 106.5 puts, 15 ref 108-11.5