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Early SOFR/Treasury Option Roundup: Underlying Recovers

US TSYS

Better SOFR option trade compared to Treasury options overnight. Two-way positioning ahead Friday's November employment data leaning towards call structures, modest overall volumes. Underlying futures recovering after markets tempered 2024 rate cut projections: December at -.3bp at 5.333%, January 2024 cumulative -3.8bp at 5.298%, March 2024 pricing in -55.2% chance of a rate cut with cumulative at -17.6bp at 5.160%, May 2024 pricing in -71.2% (-66.0% late Mon) with cumulative -35.4bp at 4.982%. Fed terminal at 5.335% in Feb'24.

  • SOFR Options:
    • 2,000 SFRF4 94.68 puts ref 94.87
    • Block, 4,000 SFRF4 94.62/94.75 put spds, 2.0 vs. 94.87/0.17%
    • 1,750 SFRF4 94.75/95.00/95.12 1x3x2 broken call fly ref 94.875
    • 2,500 SFRM4 96.00/97.00 call spds ref 95.24
    • Block, 2,500 0QG4 97.00/97.25 call spds, 3.0 vs. 96.185/0.05%
    • 1,100 SFRF4/SFRG4 94.62/94.68/94.75 call fly spd
    • 2,000 SFRZ3 94.56/94.62/94.68 call flys ref 94.6225
    • Block, 2,500 SFRM4 94.50/94.75 put spds vs. SFRM4 95.62/95.87 call spds ref 95.245
    • 1,200 SFRH4 94.87/95.87 2x3 call spds ref 94.875
    • 2,500 0QZ3 96.37/97.00 call spds ref 95.965
    • 1,300 SFRG4 94.56/94.62/94.75 broken put fly ref 94.8985
    • 2,000 SFRH4 94.43/94.75/94.87 broken put fly vs. SFRZ3 94.62 straddle
  • Treasury Options:
    • 1.000 FVF4 107.5 calls, 33 ref 107-09
    • 2,000 TYF4 106.5/107.5/108.5 put flys
    • 2,000 TYG4 107.5/110 2x1 put spds ref 110-13.5
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