Late SOFR Option Roundup

Short term interest rate options on Secured Overnight Financing Rate (SOFR) futures saw consistent put trade Tuesday as implied rate cuts in the second half of 2023 moderated. Option desks reported continued buying in Dec'23 95.50 puts in early trade, ongoing unwind after 30k bought Monday (open interest -15,326 to 248,362 coming into the session). Massive Block: +140,000 OQJ3 (April midcurve) 95.00 puts, 1.0 vs. -80,000 OQJ3 95.37 puts, 1.75 splits (some desks say 95.37 leg a buy, others ratio put spd Blocked for net of even. Salient trade:

• Block, 5,000 SFRU3 95.00/95.75 3x2 put spds, 67.0 net, 2 leg over
• Block, 5,000 SFRZ3 93.00/94.00/95.00 put flys, 6.0 net ref 96.89
• Block, 5,000 SFRU3 95.75/96.00 3x2 put spds, 65.0 ref 95.455
• Block, +140,000 OQJ3 95.00 puts, 1.0 vs. -80,000 OQJ3 95.37 puts, 1.75 splits (some desks say 95.37 leg a buy, others ratio put spd Blocked for net of even)
• Block, 30,000 OQM3 94.50/94.87/95.50 broken put flys, 5.0 vs. 96.53/0.07%
• +5,000 SFRJ3 94.75 puts, 1.25 vs 95.195/0.02%
• -5,000 SFRJ3 95.12/95.25/95.37/95.50 put condors 2.5-2.25 vs. 95.185/0.05%
• Block, 10,000 OQZ3 94.75/95.75/96.75 put flys, 21.0 vs. 96.87/0.10%
• Block, 10,000 SFRZ3 94.50/94.75/95.00 put flys, 2.5 net ref 95.76
• 5,000 SFRM3 94.93 puts ref 95.18
• 2,000 SFRJ3 95.00/95.06/95.12 put flys ref 95.18
• Block, +5,000 SFRZ3 96.50/97.50 call spd w/94.00/95.00 put spd, 40.0
• Block, +5,000 SFRZ3 96.50/97.50 call spd w/93.75/94.75 put spd, 34.0
• 2,500 SFRZ3 94.50/95.00/95.50 put flys ref 95.73 to -.74
• over +23,000 SFRZ3 95.50 puts ref 95.755 to -.77, ongoing unwind: over 30k bought Monday w/ open interest -15,326 to 248,362 coming into the session.
• Block, 5,000 SFRZ3 94.00/95.00 2x1 put spds, 12.5