Early SOFR/Treasury Option Roundup: Put Condors

With few exceptions, SOFR/Treasury options focused on low delta puts and put structures overnight. Underlying futures currently weaker, paring Monday's rebound after 10Y yield tapped 5.0187% (highest since late Sep'07) in early trade. Projected rate hikes static into early 2024: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 5.7bp at 5.386%, January 2024 cumulative 9.9bp at 5.427%, while March 2024 slips to 5.8bp at 5.386%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.425% in Feb'24.

• SOFR Options:
  • 20,000 0QZ3 94.93/95.12/95.25/95.37 put condors ref 95.405 to -.40
  • 7,500 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.435
  • 3,000 SFRZ3/SFRJ4 94.50 put spds
  • 2,000 SFRH4 94.25/94.43 2x1 put spds ref 94.645
  • 4,000 SFRZ3 94.68/94.87 call spds ref 94.565
  • 3,000 0QZ3 95.50/95.87/96.25 call flys ref 95.435 to -.405
• Treasury Options:
  • 3,000 USX3 107/109 2x1 put spds
  • over 9,900 TYX3 106.5 puts, 25 last ref 106-12.5
  • 3,000 TYZ 108 calls, 27 last ref 106-14
  • 1,000 TYX3 105.5/106 3x2 put spds ref 106-17.5
  • 1,000 TYX3 105.25/105.75 put spds, 3 ref 106-17.5
  • 1,200 FVZ3 103.5 puts ref 104-22.5
  • 4,750 TYX3 105.5/106 put spds, 7 ref 106-11 to -10.5