Early SOFR/Treasury Option Roundup: Mixed

Traders reported mixed SOFR/Treasury option flow on moderate volumes overnight. Ongoing Middle East conflict spurring safe haven buying in underlying, futures nearly back to Thu's pre-CPI levels. Projected rate hikes into early 2024 are consolidating: November holding at 9.8%, w/ implied rate change of +2.5bp to 5.353%, December cumulative of 8.6bp (10.6bp late Thu) at 5.414%, January 2024 cumulative 8.4bp (10.6bp late Thu) at 5.413%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.415% in Jan'24.

• SOFR Options: Reminder, October options expire today
  • 4,000 SFRV3 94.62 calls, cab
  • 3,000 0QZ3 95.25/95.50 put spds vs. 2QZ3 95.87/96.12 put spds
  • 2,500 0QZ3 95.50 calls 21.0 last
  • 8,000 SFRZ3 94.62/SFRF4 94.68 put calendar spd
  • 5,000 SFRZ3 94.56 straddles ref 94.555
  • 5,000 SFRV3 94.56/94.62/94.68/94.75 call condor ref 94.555 to -.56
  • 4,500 SFRV3 94.50/94.62 put spds ref 94.56
  • 1,000 SFRX3/SFRZ3 94.62/94.68 call spd spd ref 94.555
• Treasury Options:
  • over 4,200 FVZ3 106.5 calls, 19 last
  • over 2,400 FVZ3 104 puts, 17.5 last
  • over 5,400 TYZ3 109 calls, 37 last
  • over 4,600 TYX3 106 puts, 8 last
  • over 4,400 TYX3 107 puts, 22 last
  • over 6,600 TYX3 109 calls, 14 last