Early SOFR/Treasury Option Roundup: Mixed Ahead GDP

Mixed SOFR/Treasury options reported overnight, modest volumes in the leadup to 4Q GDP and slew of additional data at 0830ET (PCE, Wkly Claims, Durables, Cap Goods). Fed in blackout ahead next week's FOMC doesn't prevent Tsy Sec Yellen from giving her economic outlook at 1235ET. Underlying futures mixed, short end mildly bid as rate cut projections for early 2024 gain slightly: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -40.7% vs. -39.7% late Wednesday w/ cumulative of -10.8bp at 5.221%, May 2024 at 79.8% vs. 74.7% late Wed w/ cumulative -30.8bp at 5.021%, June 2024 97.5% w/ cumulative -55.1bp at 4.779%. Fed terminal at 5.325% in Feb'24.

• SOFR Options:
  • Block, 6,000 SFRM4 94.93/95.18/95.50/95.62 broken put condors, 0.0 net ref 95.265 at 0702:33ET
  • 5,000 SFRM4 95.56/95.62 call spds
  • 2,000 SFRJ4 94.50/94.87/95.00/95.12 broken put condors ref 95.27
  • 3,500 SFRJ4 95.25/95.50/96.00 broken call flys
  • 2,000 SFRJ4 94.93/95.00/95.18 put flys
  • 4,500 SFRH4 94.87/94.93/95.00 call flys ref 94.855
  • 4,000 0QM4 97.00/97.50/97.75 broken call flys vs. 95.75/96.00 put spds
• Treasury Options:
  • over 4,200 FVG4 108 calls, 3 last ref 107-20
  • over 3,500 TYG4 111.5 calls, 5 last
  • over 5,600 TYG4 110.75 puts, 7 last
  • 2,000 TYG4 110.5/112 put spds, 59 ref 111-02
  • 2,000 TYG4 110.25/110.5 put spds ref 110-30