Early SOFR/Treasury Option Roundup

Mixed overnight trade reported, interest in 3Y midcurve limited upside SOFR call flys, Treasury option focus on near term 10Y puts. Underlying futures weaker after climbing to early September levels following Tue's lower than expected JOLTS job openings data. markets reprice 2024 rate cut projections: December steady at -.3bp at 5.333%, January 2024 cumulative -3.3bp at 5.302%, March 2024 chance of rate cut recedes to -56.2% (vs. -60.0% late Tue) with cumulative at -17.3bp at 5.162%, May 2024 pricing steady at -72.2% with cumulative -35.4bp at 4.982%. Fed terminal at 5.33% in Jan'24.

• SOFR Options:
  • 2,000 3QJ4 97.25/97.50/97.62 broken call flys ref 96.45 opener
  • 2,000 3QK4 97.50/97.87/98.00 broken call flys ref 96.455 opener
  • 10,000 0QG4 95.50/95.75 put spds vs. 0QG4 96.50/96.75 call spds
  • 4,000 SFRH4 94.75 puts outright ref 94.87
  • 4,000 SFRH4 94.75/94.87 2x1 put spds 0.0 ref 94.87
  • 5,000 SFRG4 94.87 calls outright ref 94.87 to -.865
  • 1,000 SFRG4 94.75/94.87/95.00 call flys ref 94.875
  • 2,000 2QZ3 95.50/96.00 put spds ref 96.60 to -.61
  • 1,500 SFRF4 94.37/94.62 put spds ref 94.88
• Treasury Options:
  • over 10,800 TYF 108.5 puts 9 last
  • 5,400 TYH4 109.5 puts, 24 last
  • 4,000 TYG4 107.5 puts, 16
  • over 10,500 Wed wkly 10Y 110.25 puts -- expire today
  • 1,500 wk2 10Y 109/109.25/109.75/110 put condors ref 110-22.5
  • 1,500 TYF4/TYG4 111.5 call spds ref 110-25.5
  • 2,000 wk3 TY 110 puts ref 110-27.5 to -25.5