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Early SOFR/Treasury Option Roundup: Mixed Ahead FOMC

US TSYS

Mixed SOFR and Treasury option flow overnight, leaning towards upside SOFR calls while Dec 10Y options see paper legging a iron condor. Underlying futures extending highs, curves bull flattening at the moment. Rates gained early overnight after BOJ left policy unchanged at -0.1%, left upper limit of YCC framework at 1%. In US, projected rate hikes into early 2024 holding steady: November steady at 0% to 5.325%, December cumulative of 5.8bp at 5.387%, January 2024 cumulative 8.4bp at 5.413%, March 2024 at 4.3bp at 5.371%. Fed terminal at 5.415% in Feb'24.

  • SOFR Options:
    • Block, 3,000 SFRU4 95.00/96.00/97.00 call flys, 12.0 ref 95.15
    • 2,000 SFRZ3 94.37/94.43/94.56/94.62 put condors ref 94.57
    • 1,500 SFRZ3 94.56/94.62/94.68 call flys
    • 15,000 SFRZ3 94.62/94.75 call spds ref 94.575
    • 1,000 SFRH4 94.18/94.62/94.68/94.87 broken put condors ref 94.66
    • 1,750 SFRX3/SFRZ3 94.50 put spds ref 94.57
    • 2,150 SFRH4 94.75/95.12/95.50 put trees vs. SFRF4 94.75 calls
    • 8,000 SFRZ3 94.68 calls, 2.75-3.25 ref 94.57
    • 3,500 0QZ3 94.93/95.06/95.18 put flys ref 95.40
  • Treasury Options:
    • appr -2,600 TYZ3 104.5/108 strangles (13-14) vs. +7,800 TYZ3 103/109.5 strangles (13) ref 106-16, even to 1cr net for the iron condor
    • 2,500 FVZ3 105/106/106.5 broken call flys, ref 104-15.75

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