Early SOFR/Treasury Option Roundup

Mixed SOFR/Treasury option flow overnight, underlying futures weaker, near midrange after 10Y yield tapped 4.9873% high. Projected rate hikes into early 2024 look static: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 6.6bp at 5.395%, January 2024 cumulative 9.9bp at 5.427%, March 2024 at 6.8bp at 5.397%. Fed terminal at 5.430% in Feb'24. Note on late Wednesday's large 10Y put trade 50k TYX3 107.5 and appr 40k weekly 10Y 108.5 puts: 107.5 put open interest +39,936 to 94,166, while the 108.5 put appears to be an unwind. Reminder, Nov serial Tsy options also expire Friday.

• SOFR Options:
  • Block, 2,500 SFRH4 94.25/94.37 put spds vs. SFRH4 94.62/94.75 call spds ref 94.63, appr 7.5k more on screen
  • 5,600 SFRZ3 94.31/94.37/94.43/94.50 put condors ref 94.55
  • over 4,000 SFRH4 94.12/94.37 put spds vs. SFRH4 94.62/94.87 call spds ref 94.63
  • 2,000 0QZ3 95.50/95.87/96.25 call flys ref 95.31
  • 2,000 SFRX3 94.75/95.00 call spds ref 94.56
  • 2,800 0QZ3 95.37/95.62/96.00 broken call trees ref 95.31
  • Block, 10,000 SFRM4 94.50/94.81 put spds vs. 95.50 calls, 3.5 net call over
  • Block, 5,000 SFRM4 94.50/94.81 put spds vs. 95.50 calls, 4.0 net call over
  • 2,000 SFRU4 95.50/96.50/97.00 broken call flys ref 95.075
• Treasury Options: Reminder, Nov serial options expire Friday
  • over 8,500 TYX3 106.5 calls, 3 ref 105-16 to -21
  • 2,000 TYZ3 109.5/110.5 call spds
  • 5,000 TYZ3 105/106 2x3 put spds ref 105-19 to -18.5
  • 3,000 USZ3 99/100 put spds ref 107-31
  • 2,000 FVZ3 101.5/102 put spds ref 104=02.75
  • Note on Wed's 50,000 TYZ3 107.5 puts open interest +39,936 to 94,166