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Early SOFR/Treasury Option Roundup

US TSYS

SOFR/Treasury option trade largely mixed overnight, slightly better low delta call structures in the former ahead this morning's CPI data. Underlying futures adding to Wed's post-FOMC minutes gains. Projected rate hikes into early 2024 are largely treading water: November at 9.8% (compared to 30.5% late Fri), w/ implied rate change of +2.5bp to 5.353%, December cumulative of 7.4bp at 5.403%, January 2024 6.4bp at 5.392%. Fed terminal at 5.405% in Jan'24.

  • SOFR Options:
    • 8,000 SFRZ3 94.68/94.75/94.81/94.87 call condors ref 94.575
    • 3,500 SFRX 94.43/94.50 put spds ref 94.575
    • 9,000 SFRX3 94.62 calls ref 94.57
    • 4,600 SFRV3 94.50/94.56/94.62 call flys ref 94.57 to -.575
    • Block, 5,000 SFRV3 94.50/94.56 put spds, 1.25 ref 94.575
    • 3,000 SFRV3 94.50 puts ref 94.575
  • Treasury Options:
    • 1,500 TYX3 108/109/110 call flys, 14 ref 108-04
    • 8,000 TYZ3 105/106/107.5 TYZ3 broken put flys on 2x3x1 ratio
    • 2,500 TYX3 107 puts, 19 ref 108-03.5
    • 1,500 TYX3 108/108.5 put spds ref 108-03
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