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Early SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR and Treasury option trade leaned toward puts overnight, more modest volumes in Treasury options included Wednesday/weekly midcurve 10Y options that expire tomorrow. Underlying futures holding modest bid at the moment, short end lagging on lighter volumes as markets await CPI inflation data for Oct. Projected rate moves into early 2024 remain static: December at 3.6bp at 5.368%, January 2024 cumulative 7.1bp at 5.403%, while March 2024 pricing in -16% chance of a rate cut with cumulative at 3.1bp at 5.363%, May 2024 cumulative -6.2bp at 5.269%. Fed terminal at 5.405% in Feb'24.

  • SOFR Options:
    • 3,000 3QZ3 95.00 puts, 0.5 ref 95.99
    • Block, 5,000 SFRZ3 94.62/94.68 call spds 0.5 over SFRZ3 94.37 puts ref 94.575
    • Block, 2,587 SFRZ3 94.43/94.56 put spds 1.0 over SFRZ3 94.62 calls ref 94.575
    • 6,275 SFRF4 94.68/94.75/94.81/94.87 call condors ref 94.645
    • 2,000 SFRF4 94.43/94.62/94.75 put flys
    • 2,000 0QZ3 95.31 puts ref 95.445
    • 3,300 SFRH4 94.12/94.25 put spds
    • 4,600 SFRH4 94.56/94.68/94.81 put flys, ref 94.645
    • 5,000 SFRH4 94.75/95.00 call spds ref 94.645
  • Treasury Options:
    • over 5,100 TYZ3 107 puts
    • 2,200 Wed/wkly TY 106.25/106.75 put spds ref 107-16.5
    • 2,400 TUZ3 101.37/101.75 call spds ref 101-08.25
    • 8,700 Wed/wkly TY 108.5 calls, 3 ref 107-17
    • 4,900 Wed/wkly TY 109 calls ref 107-16
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