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Early SOFR/Treasury Option Roundup: SOFR Pared, 10Y Puts, 5Y Call

US TSYS

Mixed overnight option trade reported, SOFR more pared after better put buying Monday, Treasury options seeing better 10Y puts in addition to decent volume in Dec'23 5Y 107 calls. Underlying futures mostly firmer, curves flatter with short end underperforming. Projected rate cut chance into early 2024 static after moderating Monday: December holds at 2.4bp at 5.347%, January 2024 cumulative 3.9bp at 5.368%, while March 2024 pricing in -23.3% chance of a rate cut (-30.9% Monday morning) with cumulative at -2.3bp at 5.306%, May 2024 cumulative -13.5bp at 5.194%. Fed terminal at 5.370% in Feb'24.

  • SOFR Options:
    • Block, 2,500 SFRZ4 93.75/94.50 2x1 put spds 4.5 vs. 95.55
    • 1,750 SFRH4 94.56/94.68/94.81 put flys ref 94.735
    • Block, 7,750 0QZ3 95.12/95.37/95.50/95.62 put condors, 1.0 vs. 95.63/0.05%, another 4k/screen
    • 11,000 SFRH4 94.62/95.37/95.62 broken call trees ref 94.74
    • 1,600 SFRH4 94.75/95.75 1x2 call spds ref 94.735
    • 1,250 2QZ3 96.00/96.37/96.75 call flys ref 96.085
    • Block, 5,000 SFRH4 94.75/94.93 2x1 put spds, 5.5 net ref 94.73
  • Treasury Options:
    • 2,000 TYZ3 105/106.5 put spds
    • 6,000 TYZ3 102/104 put spds, ref 107-30.5 to -30
    • over 10,600 FVZ3 107 calls, 5.5 last ref 105-16 to -13.5
    • 1,800 FVF4 102.75 puts, 3.5 ref 105-31
    • 7,000 TYZ3 105/106 put spds ref 107-30
    • 8,000 weekly 10Y 108/108.5 2x1 put spds, 1 net ref 107-21.5
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