Early SOFR/Treasury Option Roundup

Mixed option trade overnight, limited volumes as option desks ply the sidelines ahead of the week's data (CPI, PPI) and event risk (FOMC). Underlying futures extending lows last few minutes, no obvious headline or Block post driver while incoming Tsy supply (3Y, 10Y notes as well as 13W, 26W bills) generating pre-auction short sets. Projected rate cuts for early 2024 continue to recede: December flat at 5.333%, January 2024 cumulative -.7bp at 5.323%, March 2024 chance of rate cut at -38.7% vs. -55.2% pre-NFP with cumulative of -10.4bp at 5.226%, May 2024 -59.2% vs. -70.1% pre-NFP, cumulative -25.2bp at 5.078%. Fed terminal at 5.33% in Feb'24.

• SOFR Options:
  • 10,400 SFRH4 94.62/94.75/94.87/95.00 call condors ref 94.80 to -.795
  • 7,700 0QG4 95.62 puts, ref 96.04 to -.035
  • 3,000 0QZ3 95.50/95.56 put spds
  • 2,000 SFRF4 94.62/94.75 put spds
• Treasury Options:
  • 2,000 TYF4 109.5 puts 27 last
  • 1,500 FVF4 107.25 calls, 22-22.5