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Early SOFR/Treasury Option Roundup: Paired, Underlying Bounce

US TSYS

SOFR/Treasury option trade relatively paired between calls and puts on moderate overnight volumes. Underlying futures firmer after marking new lows for the month overnight (TYZ3 108-00.5), 10Y yield off new 16Y high of 4.5620% at 4.4887% at the moment. Rate hike projections into early 2024 largely static: November at 20.7% w/ implied rate change of +5.2bp to 5.379%, December cumulative of 11.6bp at 5.444%, January 2024 12.5bp at 5.453%. Fed terminal at 5.455% in Feb'24.

  • SOFR Options:
    • 4,500 SFRH4 97.25/97.50 put spds ref 94.62
    • Block, 3,000 0QZ3 95.50/95.68/95.81 call flys, 3.0 vs. 95.37/0.10%
    • over 2,600 0QM4 97.00 calls ref 95.855
    • 1,250 0QZ3 95.00/95.50 put spd vs. 2QZ3 95.50/96.00 put spds
    • Block, 3,000 SFRH4 94.00/94.25 put spds, 2.5 vs. 94.605/0.10%
    • Blocks, total 6,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 1 ref 94.62
    • 10,000 SFRF4 94.12/94.37 put spds, 3.0 ref 94.615 to -.62
    • 2,500 SFRM4 95.00/96.00/97.00 call flys ref 94.775
  • Treasury Options:
    • over 10,100 FVX3 108 calls, 3.0 ref 105-12.25
    • 2,500 wk5 TY 109.75/110.75 1x2 call spds ref 108-12.5
    • over 4,800 TYZ3 112 calls, 15 ref 108-12
    • 2,000 wk2 TY 109.25/110/110.5 broken call flys ref 108-08.5
    • 1,250 TYX3 107/107.5/108.5 broken put flys, 58 ref 108-06.5
    • over 11,000 10Y weekly 107.5 puts, 4 ref 108-02
    • 6,000 TYX3 107/108 2x1 put spds, 12 ref 108-02 to -03
    • 2,400 TYZ3 106.5/107 put spds ref 108-01.5
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