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Early SOFR/Treasury Option Roundup: Put Focus, Rate Cut Chances Cool

US TSYS

Focus on low delta SOFR and Treasury put structures overnight, moderate volumes on the shortened Thanksgiving holiday week (full session Wednesday, Thursday close, Friday early close). Underlying futures steady to mildly weaker in the short end at the moment. Projected rate cut in early 2024 consolidates: December at 0bp at 5.333%, January 2024 cumulative .5bp at 5.338%, March 2024 pricing in -28.1% chance of a rate cut (-33.9% late Friday) with cumulative at -6.5bp at 5.267%, May 2024 pricing in -47.4% (-51.8% late Fri) chance of a rate cut with cumulative -18.4bp at 5.149%. Fed terminal has fallen to 5.335% in Dec'23-Feb'24.

  • SOFR Options:
    • 9,200 SFRJ4 94.43/94.50/94.68 broken put trees ref 95.00
    • Block, 4,000 2QZ3 96.25/96.50/96.62 broken put fly vs. 96.175/0.15%
    • 1,500 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.575
    • 2,000 0QH4 95.00/95.25 put spds vs. 0QH4 96.25/96.50 call spds
  • Treasury Options:
    • 2,500 Weds/wkly 10Y 107.5/108/108.5 put trees ref 108-17
    • -6,000 FVZ3 105.75/106/106.25/106.5 call condors, 4 ref 105-23.25
    • 2,600 TYZ3 108.25 puts, 15 ref 108-17.5
    • 1,000 TYZ4 106.5 puts, ref 108-14.5
    • 2,000 TYZ3 109.25/109.75 call spds, 7 ref 108-17
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