Late SOFR/Treasury Option Roundup

Better put volumes on net carried over from overnight trade, fading the carry-over support in underlying futures ahead of tomorrow's key CPI data. Salient trade is Dec'23 SOFR put condor hedging two 25bp rate hikes by year end, while a second account hedged a less hawkish year-end view with Dec'23 SOFR 94.00/94.12/94.25 put flys. On the flipside, Green Dec'23 call spd looking for rate cuts to price into late 2025 futures.

• SOFR Options:
  • +35,000 SFRZ3 94.00/94.12/94.25 put flys, 1.25
  • 4,000 OQN3 95.68/95.81/96.00 call flys
  • -10,000 OQZ3 95.0/95.12 put spds,2.75 ref 95.94
  • +3,500 SFRH4 94.00/95.50 strangles, 34.0-34.5
  • 3,000 SFRV3 95.37/96.37 call spds vs. 3QV3 97.25 calls
  • +10,000 SFRU3 94.75/95.00/95/25 call flys, 1.25
  • 4,800 SFRU3 95.00 calls ref 94.59
  • 1,000 SFRQ3 94.56/94.68/94.81 put flys
  • +32,700 SFRZ3 93.50/93.75/94.00/94.50 broken put condors ref 94.665 to -.65
  • 1,000 SFRQ3 94.37/94.43/94.50 put flys ref 94.59
  • 3,000 SFRN3 94.37/94.50/94.62 put flys ref 94.585
  • +8,000 2QZ3 98.00/98.50 call spds, 2.0 ref 96.44 to -.425
  • 2,000 SFRH4 95.37/95.62/95.87/96.12 call condors ref 94.915
• Treasury Options:
  • 5,000 TYQ3 111.25/112/112.25 broken call flys ref 111-06
  • 11,000 FVU3 95.00 puts, .5 ref 106-20.5
  • 1,500 USU3 125/128/131 call flys
  • over 6,400 TYQ3 112.75 calls, 11 ref 111-13 to -12.5
  • over 6,100 TYQ3 110.5/111.25 put spds vs. TYQ3 112.25 calls ref 111-15
  • 3,000 TYQ3 109 puts, 4 ref 111-15
  • 2,000 TYU3 108.5/109.5 put spds, 14 ref 111-13.5
  • 2,000 TYU3 109.5/110.5 put spds, 20 ref 111-12
  • 2,300 TYQ3 112 calls, 23 ref 111-10