Early SOFR/Treasury Option Roundup: Put Focus

SOFR and Treasury option focus largely on puts, put structures overnight, profit taking in Tsy wk2 midcurves. Underlying futures mildly lower, inside narrow overnight range. Projected rate cut chance into early 2024 holding near late Thursday levels: December at 3.6bp at 5.358%, January 2024 cumulative 6.1bp at 5.383%, while March 2024 pricing in -16.5% chance of a rate cut with cumulative at 2bp at 5.341%, May 2024 cumulative -7.2bp at 5.250%. Fed terminal at 5.385% in Feb'24.

• SOFR Options:
  • 3,850 SFRG4 94.25/94.37/94.50 put flys ref 94.675
  • 1,500 0QZ3 95.25/95.37/95.50/95.62 put condors ref 95.45
  • over 9,000 2QZ3 95.81 puts, 7.5-8.0 ref 96.04 to -.05
  • Block, 5,000 0QZ3 95.5 puts, 20.0 ref 95.45, more on screen
• Treasury Options: (reminder, wk2 midcurves expire today)
  • 3,000 wk2 US 113.5 calls, 7
  • 1,600 TYZ3 108.5/109.5 call spds, 12 ref 107-18.5
  • 3,200 TYZ3 107.25 puts, 29 ref 107-19.5
  • 1,600 TYZ3 109.5/110 call spds ref 107-13
  • over 10,200 TYZ 107 puts, 28 last
  • over 6,000 TYZ 106.25 puts, 12 last
  • over -9,100 wk2 TY 110 puts, 240 last, taking profits after +45k Wed from 137-141