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Early SOFR/Treasury Option Roundup: SOFR Call Condors

US TSYS

Better call interest in SOFR and Treasury options overnight, notable scale buyer Jan'24 SOFR call condors up to +29k on small lots so far. Underlying futures mildly weaker, curves unwind portion of Wednesday's flattening. Projected rate cut chance into early 2024 continues to moderate: December at 3.6bp at 5.358%, January 2024 cumulative 6.1bp at 5.383%, while March 2024 pricing in -22.3% chance of a rate cut with cumulative at 0.5bp at 5.327%, May 2024 cumulative -10.8bp at 5.214%. Fed terminal at 5.380% in Feb'24.

  • SOFR Options:
    • 11,000 SFRF4 94.68/94.75/94.87/94.93 call condors after:
    • 19,000 SFRF4 94.68/94.75/94.81/94.87 call condors ref 94.715 to -.705
    • 3,000 SFRH4 95.25 calls
    • 1,000 SFRZ3 94.37/94.50/94.62 put flys
    • 2,000 3QM4 96.75/97.12/97.50 call flys ref 96.08
    • 1,000 SFRM4 94.50/94.75/95.00 put flys ref 94.945
  • Treasury Options:
    • 2,500 FVZ3 104.25 calls, 126.5 ref 105-16.25
    • 2,600 FVZ3 107 calls, 5.5 last
    • 3,000 TYH4 108/111/114 call flys ref 108-16.5
    • 1,500 TYZ3 105 puts, 2 ref 108-06.5
    • 2,000 USZ3 116/117/117.5 call flys ref 114-22
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