Early SOFR/Treasury Option Roundup: Better Call Buy on Safe Haven Rally

Rally in underlying futures spurred better low delta call trade in SOFR and Treasury options overnight, safe haven bid as Lebanon/Israel exchange rocket fire in addition to mildly dovish Fed speak from Gov Bowman overnight helped push TYZ3 back to late September levels (108-11 high, +20). Rally has in turn tempered rate hike projections into early 2024: November at 11.9% compared to 30.5% late Fri, w/ implied rate change of +3bp to 5.358%, December cumulative of 7bp at 5.399%, January 2024 5.9bp at 5.387%. Fed terminal at 5.40% in Jan'24.

• SOFR Options:
  • 2,000 SFRX3 94.62/94.81 call spds ref 94.58
  • 6,250 SFRX3 94.62/94.68/94.75 call flys ref 98.58
  • 2,000 2QZ3 96.25/96.37/96.50/96.62 put condors ref 96.085
  • 2,000 2QZ3 95.50/95.62/96.00/96.12 put condors ref 96.085
  • 2,000 0QZ3 95.50/96.50 call spds vs. 3QZ3 96.25/97.25 call spds
  • 1,500 2QX3/2QZ3 96.06/96.43/96.93 broken call fly spd
  • 1,000 3QV3 96.12/96.25 call spds ref 96.06
• Treasury Options:
  • 2,500 TYZ3 111 calls, 24 last ref 108-08
  • 2,000 USX3 117 calls, 26 ref 113-14
  • over 5,900 TYX3 109 calls, 32 ref 108-07.5
  • 4,500 TYX3 104/105 put spds vs. TYX3 110/111 call spds
  • 1,000 USX3 116/117 call spds, 6 ref 113-15
  • 2,800 TYZ3 105.5 puts, 24 ref 108-03.5
  • 4,200 FVX3 106 calls, 22 ref 105-17.5
  • 1,500 TYZ3 110 calls, 31 ref 107-27