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Early SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR/Treasury option trade overnight on light volume. Reminder, Nov serial Tsy options expire Friday. Underlying futures weaker, near modest overnight lows - but inside Tuesday's range. Projected rate hikes into early 2024 gain slightly: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 7.3bp at 5.402%, January 2024 cumulative 10.9bp at 5.438%, March 2024 at 6.9bp at 5.398%. Fed terminal at 5.440% in Feb'24.

  • SOFR Options:
    • 4,000 0QZ3 95.25/95.50/95.75 call flys ref 95.335
    • Block, 4,000 0QZ3 95.62/96.00/96.37 call flys, 3.5 vs. 95.365/0.07%
    • 2,600 SFRM4 94.37/94.50 put spds vs. 94.75/94.87 call spds
  • Treasury Options: (Reminder, Nov serial Tsy options expire Friday)
    • 3,000 TYZ3 106 straddles ref 106-05.5
    • 2,000 USZ3 113/115/117/119 call condors
    • 10,000 TYX3 105.5/105.75 put spds

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