Late SOFR/Treasury Option Roundup

Traders rushed off the sidelines in the aftermath of the latest FOMC and BoE's hawkish hold policy announcements, generating a surge in SOFR/Treasury option volumes as underlying FI futures continued to sell off Thursday.

• Treasury curves bear steepened after the Fed left rates steady Wednesday, but kept the door open to one more increase in borrowing costs this year, while reducing the number of rate cuts officials see in 2024.
• Rate hike projections into early 2024 receded slightly: November at 29.0% w/ implied rate change of +7.2bp to 5.40%, December cumulative of 12.9bp at 5.457%, January 2024 13.5bp at 5.463%. Fed terminal at 5.46% in Jan'24-Feb'24.

• SOFR Options:
  • Block/screen, over 40,000 SFRF4 94.75/95.25/95.75 call flys, 3.75 ref 94.61
  • 8,500 SFRZ3 96.06 calls, 1.25 ref 94.525
  • Block, 11,111 SFRG4 94.00/94.25 put spds, 2.5 ref 94.61, opener
  • +10,000 SFRU4 94.50/94.75 put spds, 11.25
  • 4,000 SFRF4 94.75/95.25/95.75 call flys
  • -10,000 0QV3 95.18/95.25 put spds, 3.0
  • 4,500 SFRM4 94.50/95.00 2x1 put spds ref 94.73
  • Block, 6,000 0QZ3 95.00/95.25/95.50 put trees, 2.0 ref 95.29
  • Block, 2,500 SFRF4 94.75/95.25/95.75 call flys, 3.5 ref 94.59
  • 4,500 SFRF4 94.25/94.37 put spds
  • 2,000 SFRM4 94.75/94.50/96.25 call flys
  • 4,000 0QZ3 95.50/96.50 call spds vs. 3QZ3 96.25/97.25 call spds
  • 4,500 SFRF4 94.25/94.37 put spds
  • 5,300 SFRZ3 94.56/94.62/94.68 call flys
  • Block, 3,500 SFRZ3 94.56/94.62/94.75/94.81 call condors
  • Block, 3,000 3QV3 95.75 puts, 2.5 vs. 96.12/0.15%
  • over 12,000 0QZ3 94.87/95.12/95.25/95.37 put condors, ref 95.31
  • 1,500 SFRX3 94.31/94.37/94.50 put flys ref 94.52
  • 3,000 SFRH4 94.75 puts, 33.0 ref 94.58
  • 2,500 SFRZ3 94.56/94.62/94.68 call flys ref 94.52
  • over 5,000 0QZ3 95.00/95.25/95.50 put trees ref 95.31
  • over 5,000 0QZ3 95.25 puts covered ref 95.32 to -.325
  • over 14,000 0QZ3 95.25/95.75 put spds ref 95.32 to -.325
  • 4,000 0QV3 95.37/95.50/95.62 call flys ref 95.315
  • 2,300 0QZ3 95.75/95.87 put spds ref 95.285
  • 3,500 0QZ3 95.50/95.62 put spds ref 95.285
  • over 8,600 2QV3 95.87 puts, 8.5 ref 95.975 to -.98
• Treasury Options:
  • over 26,700 TYX3 107.5/109.5 put spds, 62 ref 108-14.5
  • Over +7,400 USX3 112 puts, 33-35 ref 116-12
  • 6,000 TYX3 115 calls, 2 ref 108-14.5
  • 5,000 TYX3 112 calls, 6 ref 108-14
  • 10,000 TYX3 108 puts, 44 ref 108-16.5, prior trades puts volume >33k
  • 2,000 TUV3 101.5 calls ref 101-06.5
  • 4,000 TYX3 109.5 calls, 31 ref 108-14.5
  • over 8,500 TYV3 108.5 puts, 10-14
  • 3,000 TYZ3 103/105/107 put flys, 20 ref 108-22
  • over 4,000 FVX3 105/105.5 put spds ref 105-09.25
  • 1,000 FVZ3 106.25/107.25/108.25/109.25 call condors ref 105-11.75
  • 4,500 TYX3 109/110 call spds ref 108-22.5
  • over 4,500 TYX3 111.5 calls, 8 ref 108-23
  • over 4,300 TUV3 101.5 puts, 16.5 ref 101-07.62
  • over 7,100 TUV3 101.37 puts, 9.5-10 ref 101-07.75 to -07.38
  • 4,000 TYX3 107/108 2x1 put spds ref 108-22
  • 2,200 TYX3 107.5/108.5 put spds, 21 ref 108-22.5
  • 2,000 TYV3 109 puts, 31 ref 108-22
  • 5,000 TYV3 107.75 calls, 58 ref 108-20
  • 1,500 FVX3 106.25 puts, ref 105-10
  • 2,500 FVV3 104.75/105 put spds, 4.5 ref 105-08.5
  • 2,500 TYX3 108/112 strangles, 45 ref 108-23