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Early SOFR/Treasury Option Roundup: Turning to Calls

US TSYS

Better SOFR and Treasury option call trade overnight, well before current bounce in underlying heading into the cash open. Curves still flatter with short end rates lagging. Projected rate cut chance into early 2024 holding ground: December holds at 2.4bp at 5.347%, January 2024 cumulative 4.4bp at 5.373%, while March 2024 pricing in -26.1% chance of a rate cut with cumulative at -2.1bp at 5.307%, May 2024 cumulative -12.7bp at 5.201%. Fed terminal at 5.370% in Feb'24.

  • SOFR Options:
  • 4,000 0QZ3 95.50/95.75/96.00 call flys ref 95.56
  • 2,500 0QZ3 95.43/95.75/96.12 call flys ref 95.56
  • 2,000 0QZ3 95.00/95.25/95.50 put flys ref 95.55
  • over 5,000 SFRH4 95.75 calls ref 94.725
  • 1,200 SFRH4 94.75/95.75/97.00 broken call flys ref 94.725
  • 1,000 SFRH4 94.75/95.00/95.25/95.50 call condors
  • Treasury Options:
  • 5,300 TYH4 108/111/114 call flys ref 108-10.5
  • 2,100 TYH4 108/111/114 call flys ref 108-10.5
  • 2,000 FVZ3 102 puts, .5 ref 105-14
  • 1,600 TYZ3 108.5/109.5/110 broken call flys ref 107-31
  • 1,800 FVZ3 106/107/107.5 broken call flys, ref 105-13
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