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Early SOFR/Treasury Option Roundup, Safe Haven, Call Buying

US TSYS

With few exceptions, SOFR/Treasury options trade revolving around low delta call structures overnight as underlying futures bounce on safe haven buying Hamas surprise attack on Israel. Rate hike projections into early 2024 recede: November at 22.2% (30.5% late Fri) w/ implied rate change of +5.6bp to 5.384%, December cumulative of 9.9bp (12.4bp late Fri) at 5.428%, January 2024 8.4bp (11.9bp Fri) at 5.413%. Fed terminal slips to 5.425% in Jan'24.

  • SOFR Options:
    • 3,000 SFRZ3 94.25/94.37/94.43/94.50 put condors, ref 94.56
    • 1,100 SFRH4 95.50/96.50 1x2 call spds ref 94.675
    • 2,000 SFRZ3 94.37/94.43 2x3 put spds, ref 94.555
    • 4,000 SFRM4 94.87/95.87 call spds
    • 6,000 SFRM4 97.50 calls, 5.5 ref 94.885
  • Treasury Options:
    • 5,500 FVX3 107.75 calls, 3.5 ref 105-03.5
    • over 15,900 TYX3 109 calls, 17 ref 107-08 to -09
    • 1,500 TYZ3 109 calls, 34 ref 107-03.5
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