Late SOFR/Treasury Option Roundup

SOFR and Treasury option trade rotated around low delta puts and put structures Monday as underlying futures continued to sell-off. Tsy curves bear steepened with short end rates outperforming (3M10Y +11.412 at -95.215, 2Y10Y +8.249 at -59.785) while 10Y yield marked new 16Y high of 4.5334%. Rate hike projections into early 2024 continued to recede from last week's post-FOMC high: November at 18.6% w/ implied rate change of +4.7bp to 5.374%, December cumulative of 11.4bp at 5.441%, January 2024 12.5bp at 5.453%. Fed terminal at 5.455% in Feb'24.

• SOFR Options:
  • +5,000 2QV3 96.00/96.25/96.37/96.62 call condor, 7.5 ref 96.02
  • over 14,000 SFRX3 93.50 puts cab
  • +9,000 0QH4 95.00/95.25 put spds 1.25 over 0QH4 96.50/97.00 call spds vs. 95.635/0.20%
  • +5,000 SFRZ3 94.06/94.25/94.93/95.12 iron condor, 1.0 ref 94.535
  • +5,000 SFRV3 94.31 puts, 0.5
  • Block, 8,450 SFRF4 94.00/94.25 put spds, 1.5 ref 94.615
  • 2,000 0QX3 95.62/95.87/96.12 call trees ref 95.36
  • 1,400 0QH4 95.00/95.25 put spds ref 95.63
  • 1,400 SFRM4 95.25/95.50 call spds ref 94.775
  • 4,000 0QV3 95.31/95.43/95.62 broken call trees ref 95.34
• Treasury Options:
  • 2,300 TUZ3 102 calls, 8.5 ref 101-10.38
  • over 23,000 TYX 108 puts, 47 last (wide range from 35-52)
  • over 17,300 10Y weekly midcurve 110 puts, 142-145 ref 108-11.5 to -10.5
  • 3,500 USZ3 117/119 call spds, 45 ref 115-11
  • 8,400 USZ3 111 puts, 63 ref 115-20
  • 3,000 USX3 113 puts, 53 ref 115-26
  • 2,200 TUX3 101-87 calls, 4.5 ref 101-09.12
  • 2,400 TUX3 101 puts, 7.5 ref 101-09.12
  • 3,600 USX3 114 puts, 62 ref 115-31
  • 2,300 TYX3 106.5 puts, 15 ref 108-11.5