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Late SOFR/Treasury Option Roundup

US TSYS
Consistently better low delta put and put spread trade reported in SOFR options Tuesday, in line with heavy selling through mid-2024 futures as projected rate cuts through year end continue to evaporate (pricing in slightly higher than 25bp cut by the Dec 13 FOMC). Treasury options, on the other hand, centered on upside calls even before underlying futures rallied as debt ceiling negotiations remained deadlocked.
  • SOFR Options:
    • Block, 5,000 SFRH4 93.75/94.50 2x1 put spds, 2.5
    • Block, 5,000 2QM3 96.25/96.50 put spds, 3.5 ref 96.885
    • +10,000 SFRM3 94.56/94.62 put spds, 1.0
    • 3,000 SFRM3 94.43/94.50/94.68/94.75 put condors ref 94.78
    • 6,000 SFRN3 94.62/94.81 put spds, ref 94.95
    • 4,000 OQM3 95.31/95.75/96.03 put flys ref 96.16
    • 3,000 OQM3 95.81/96.00/96.25 broken put trees, ref 96.14 to -.145
    • 2,250 OQM3 96.18/96.43 2x1 put spds ref 96.185
    • 2,500 OQM3 96.18 puts, ref 96.185
    • 4,500 OQM3 96.12 puts, 19.0 ref 96.185
  • Treasury Options:
    • 2,000 FVN3 109.25/110.5 1x2 call spds , 1 net ,2-leg over ref 109-03
    • 3,000 FVM3 108.5/109 call spds, 8 ref 108-12.25
    • 3,700 TYM3 113.75/114 call spds, 7 ref 113-07
    • 2,000 TUN3 103.5 calls, 14.5 ref 103-01.5
    • Block, 5,000 FVM3 109.5/110 call spds, 1 ref 108-12.5/0.04%
    • over 8,700 FVM3 108 puts, 8 ref 108-12.75
    • 1,500 TYN3 117/119/120 broken call flys, 7 ref 113-30.5
    • over 10,000 TYN3 118 calls, 12 ref 114-06.5
    • 1,500 TYN3 116/117 call spds, 11 ref 114-05.5
    • 1,500 TYM3 114.5/115.5 call spds ref 113-13.5
    • 2,000 TYM3 114.25 calls, 7 ref 113-14
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