Heavy SOFR/Treasury Option Trade Roundup: Tsy Puts Buys Ease

Heavy trade centered on low delta Nov'23 10Y Treasury puts and put structures overnight as underlying futures extended cycle lows (TYZ3 106-03.5, yield 4.8799% high). Rate hike insurance buying has faded as rates have rebounded, trading higher with EGBs at the moment. Better SOFR call interest reported as futures trade firmer.
The rebound sees rate hike projections into early 2024 softening: November at 26.4% vs. 30.5% earlier w/ implied rate change of +6.3bp to 5.392%, December cumulative of 11.2bp at 5.441%, January 2024 10.9bp at 5.438%. Fed terminal slips to 5.435% in Jan'24-Feb'24.

• SOFR Options:
  • 2,000 SFRZ3 94.56/94.68/94.81 call flys ref 94.52
  • 4,500 SFRZ3 94.50/94.56/94.62/94.68 call condors ref 94.52
  • 2,000 3QZ3 95.75/96.12/96.37/96.62 broken put condors ref 95.755
  • 2,000 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
  • Block/screen, 7,000 SFRH4 95.50/96.00 call spds, 3.25 ref 94.61
  • 3,250 SFRH4 95.00/95.50 call spds vs. 0QH4 97.00/97.50 call spds
  • 3,000 SFRV3 94.62 calls, 1.0 ref 94.525
  • 3,000 SFRZ3 94.68 calls, 4.5 ref 94.515
  • Block/screen, 5,000 SFRX3 95.06/95.31 call spds, 0.5 ref 94.52 to -.515
  • 3,000 SFRX3 95.06 calls, 1.75 ref 94.52
  • Block, 5,000 SFRX3 95.06/95.37 call spds 0.5 ref 94.52
  • 4,500 SFRZ3 94.50/94.62 call spds ref 94.52
• Treasury Options:
  • 1,500 TYZ3 109/111/113 call flys
  • 2,000 FVZ3 108 calls, 6.5 ref 104-15.25
  • 4,500 TUZ3 100.87/101.25/101.5/101.87 call condors ref 101-04.88
  • 2,600 TYZ3 104.5 puts, 41 ref 106-17
  • 2,200 FVZ3 106.25 calls, 19 ref 104-12.5
  • over 7,800 TYX3 106.75 calls, 52-53 ref 106-13 to -14
  • Decent overall TYX put volumes:
  • 26,800 TYX3 105 puts, 24 last
  • 17,700 TYX3 105.5 puts, 32 last
  • 12,000 TYX3 106 puts, 45 last
  • 38,000 TYX 106.5 puts, 60 last
  • 12,200 TYX3 108 puts ref 106-13.5
  • 6,700 TYX3 104.5 puts ref 106-14
  • over 30,000 TYX3 105.25 puts, 28-30 ref 106-16 to -13 (small tied to 105.25/106.5 2x1 put spds)