Early SOFR/Treasury Option Roundup

Decent volumes reported in SOFR options overnight, midcurves and longer expirys in otherwise continued focus on low delta put structures. Underlying futures steady to narrowly mixed. Projected rate cut in early 2024 consolidates: December at 0bp at 5.333%, January 2024 cumulative 0bp at 5.338%, March 2024 pricing in -28.1% chance of a rate cut with cumulative at -7bp at 5.267%, May 2024 pricing climbs to -45.4% vs. -41.5% late Monday with cumulative at -18.4bp at 5.154%. Fed terminal at 5.34% in Dec'23-Feb'24.

• SOFR Options:
  • Block, 2,500 2QZ4 96.50/97.25 2x3 call spds vs. 2,500x2 2QZ4 94.75/95.00 put spds, 18.5
  • 45,000 SFRH4 94.50 puts vs. SFRH4 95.00/95.25 call spds ref 94.755 to -.745
  • 10,000 0QZ3 94.87/95.25/95.50 broken put flys ref 95.585
  • 2,000 3QZ3 95.50/95.75 put spds ref 96.255
  • 2,100 2QH4/2QU4 97.50/98.50 call spd spds
  • 4,000 SFRG4 94.00/94.12 put spds ref 94.75
• Treasury Options:
  • 2,000 TYF4 106.5/107/108.5 2x3x1 broken put flys ref 109-09