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Early SOFR/Treasury Option Roundup: Hedging Looser Policy

US TSYS

SOFR and Treasury option trades favoring low delta calls and call structures overnight. Underlying futures firmer as rate hike projections into early 2024 continue to cool slightly: November at 18.6% w/ implied rate change of +4.7bp to 5.374%, December cumulative of 9.7bp at 5.424%, January 2024 9.5bp at 5.423%. Fed terminal at 5.425% in Jan''24-Feb'24.

  • SOFR Options:
    • +26,000 SFRZ3 94.62/94.68/94.75/94.81 call condors, 1.5 ref 94.555
    • 3,500 0QV3 96.00 calls, .5 ref 95.43
    • 1,000 SFRX3 94.56 straddles
    • Small SFRF4 and SFRG4 94.62/94.68/94.87 call flys
  • Treasury Options:
    • 1,000 TUZ3 102/103/103.75 broken call flys ref 101-11.5
    • 2,100 FVZ3 106 calls, 35.5 last
    • 2,000 FVX3 106.25 calls, 16 ref 105-12.75
    • over 7,700 FVX3 106 calls, 21.5 ref 105-13.75
    • over 5,900 TYX 109 calls, 33 last
    • over 2,300 TYX3 107.5 puts ref 108-06
    • Block, 6,000 TYX3 106.25 puts, 16 ref 108-06
    • 2,000 TUZ3 103 calls ref 101-11.75
    • over 3,400 USX3 116 calls, 102 last
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