Early SOFR/Treasury Option Roundup

Rather light overnight option trade while underlying seeing robust volumes (TYZ3>400k) as futures breach technical support (107-05.5 1.382 proj of the Jul 18 - Aug 4 - Aug 10 price swing) in the last few minutes: Dec'23 10Y futures hit 106-30.5 low (-11.5), 10YY new 16Y high of 4.7432%. No obvious headline driver, markets adjusting to "higher for longer" monetary policy, technical selling through round number support and possible sell-stops triggered. Rate hike projections into early 2024: November at 30.5% w/ implied rate change of +7.6bp to 5.405%, December cumulative of 12.6bp at 5.455%, January 2024 13.4bp at 5.463%. Fed terminal at 5.46% in Jan'24-Feb'24.

• SOFR Options:
  • 2,000 0QV3 and 0QX3 95.87/96.12/96.37 call flys
  • 2,500 SFRU3 94.31/94.50 2x1 put spds
  • 2,000 SFRU4 94.50/94.62 put spds ref 95.01
• Treasury Options:
  • 7,000 TYX3 106.5 puts, 42 ref 107-02.5
  • 1,000 TYX3 106/107 put spds, 20 ref 107-02.5, total volume over 4k
  • 2,000 USZ3 124 calls, 8 last
  • over 3,600 FVX3 106 calls, 11 last
  • over 3,800 TYZ3 108 calls, 34 last
  • over 13,500 weekly 10Y midcurve 108.5 calls, 4 ref 107-06