Early SOFR/Treasury Option Roundup: Volume Gains

SOFR and Treasury option trade remains mixed but leaning slightly toward better low delta puts and put spreads overnight. Underlying futures mostly weaker, curves steeper with short end rates outperforming. Rate hike projections into early 2024 near late Wed's highs amid continued hawkish Fed messaging: November at 24.8% w/ implied rate change of +6.2bp to 5.390%, December cumulative of 12bp at 5.448%, January 2024 13bp at 5.458%. Fed terminal at 5.46% in Feb'24.

• SOFR Options:
  • 3,000 SFRX3 94.56 puts, 9.0 ref 94.525
  • 8,000 SFRX3 94.31 puts ref 94.525
  • 2,000 0QX3 95.31/95.50/95.75 call trees ref 95.315
  • 7,000 0QZ3 95.68/96.37 call spds ref 95.325
  • Block, 3,750 SFRM4 95.50/96.00/96.50 call flys, 2.0 ref 94.765
  • 2,500 SFRZ3 94.37 puts, 3.5 ref 94.525
  • 2,400 0QZ3 95.5/96.00 put over risk reversals, 29.5-30.0 ref 95.305 to -.315
• Treasury Options:
  • 10,000 TYX3 105.5/106.5/107.5 put flys, 11 ref 107-17.5
  • over 3,200 TYX3 111.5 calls, 5 ref 107-16.5
  • 6,500 TYZ3 111/113 call spds ref 107-21 to -18
  • 1,000 TYX3 105/106/107 put flys, 8 ref 107-21
  • 1,800 TYX3 106.5 puts, 31 ref 107-22