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Early SOFR/Treasury Option Roundup

US TSYS

SOFR and Treasury options trade mixed on lighter volume overnight, option accts plying the sidelines ahead of Tuesday morning's CPI data for October. Underlying futures mildly weaker, curves flatter. Projected rate cut chance into early 2024 ebbs: December at 3.6bp at 5.363%, January 2024 cumulative 7.6bp at 5.403%, while March 2024 pricing in -16.5% chance of a rate cut with cumulative at 3.5bp at 5.361%, May 2024 cumulative -5.2bp at 5.275%. Fed terminal at 5.400% in Feb'24.

  • SOFR Options:
    • 2,000 SFRF4 94.43/94.50 put spds vs 94.68/94.87 call spds ref 94.64
    • 1,000 SFRZ3 94.50/94.56/94.62 put flys ref 94.58
    • 1,500 SFRG4 94.68/94.81 call spds
    • 1,000 SFRZ3 94.43/94.50/94.56/94.62 put condors ref 94.58
    • 2,200 SFRH4 94.37/94.56/94.81 put trees
    • 1,000 SFRH4 94.68/94.75/94.81/94.87 call condors ref 94.64
    • 3,400 SFRH4 94.68 puts ref 94.64
  • Treasury Options:
    • over 3,200 TYZ3 107.25 puts
    • 3,800 wk3 TY 106.5 puts, 10 ref 107-09
    • 9,600 Wed/weekly TY 107.75/108.5/109 broken call trees, 8 ref 107-09
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