Early SOFR/Treasury Option Roundup: Mixed as FI Support Recedes

Mixed overnight option trade on net. SOFR seeing slightly better low delta puts as underlying futures scale back a portion of Monday's safe haven rally, while Treasury options see better call trade overnight. Given this morning's underlying reversal, rate hike projections into early 2024 are steady to slightly firmer vs. late Monday: November steady at 14% (22.2% Mon morning vs. 30.5% late Fri) w/ implied rate change of +3.5bp to 5.364%, December cumulative of 8.2bp (6.9bp late Mon) at 5.410%, January 2024 6.4bp (4.4bp late Mon) at 5.392%. Fed terminal climbs to 5.415% in Jan'24 vs. Mon's low of 5.395%.

• SOFR Options:
  • 4,000 0QZ3 95.00/95.37/95.62/96.00 put condors ref 95.50
  • 1,750 0QV3 95.25/95.37 3x2 put spds ref 95.50
  • 3,000 0QV3 95.25 puts, 0.5 ref 95.50
  • 5,500 2QV3 95.93 puts, 4.5-5.0 last ref 96.02 to -.015
  • 2,500 SFRZ3 94.56/94.62/94.68 call flys, ref 94.575
  • 1,500 0QV3 95.87 calls, 1.5 ref 95.50
• Treasury Options:
  • 3,000 TYX3 108.5/109/109.5/110 call condors, 0.0 ref 107-22
  • over 5,400 TYZ3 110.5 calls 29 last
  • over 4,300 TYZ3 110 calls 35-31, 31 last ref 107-23.5
  • over 7,100 FVX3 106 calls, 18-24, 18 last ref 105-11.25
  • 2,000 TYX3 107.75 puts, 50 ref 107-21