Early SOFR/Treasury Option Roundup: Tsy Put Focus After 10YY Tops 5%

Moderate SOFR/Treasury option volume overnight, flow leaning towards low delta SOFR call structures and Treasury puts and put structures. Underlying futures weaker, near recent lows after 10Y yield topped 5% for the first time since late Sep'07, marking 5.0187% high. Projected rate hikes into early 2024: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 5.7bp at 5.386%, January 2024 cumulative 9.4bp at 5.423%, while March 2024 slips to 5.3bp at 5.381%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.425% in Feb'24.

• SOFR Options:
  • 2,400 SFRF4 94.75/95.25/95.75 call flys ref 94.645
  • 2,000 0QZ3 95.62/96.00/96.37 call flys
  • 2,000 0QX3 95.56/95.12 strangles ref 95.31
  • 1,000 SFRZ3 94.56/94.62/94.68 call flys ref 94.565
  • 1,500 SFRH4 94.75/95.50 call spds ref 94.6
• Treasury Options:
  • 4,000 TYX3 106 puts, 45 ref 105-14.5
  • over 4,100 TYZ3 105 puts, 60 ref 105-13
  • 7,500 TYZ3 103/104 put spds, 19 ref 105-13.5 to -14
  • 1,800 FVX3 103.5 puts, 5.5 ref 104-03.5
  • 1,100 FVZ3 105.5/107 2x3 call spds ref 104-03.5
  • 3,000 FVX3 104 puts, 16 ref 104-03.75
  • 1,000 TYX3 104/105/105.5 1x3x2 put flys ref 105-18.5