Late SOFR/Treasury Option Roundup

SOFR and Treasury option trade remained mixed on decent volumes Wednesday as underlying futures reversed early support, 10Y yields extending new 16Y high of 4.6404%. Rate hike projections into early 2024 bounced amid continued hawkish Fed messaging: November at 22.8% w/ implied rate change of +6.2bp to 5.390%, December cumulative of 12.2bp at 5.449%, January 2024 13.5bp at 5.463%. Fed terminal at 5.46% in Feb'24.

• SOFR Options:
  • Block, 40,000 SFRF4 94.00/94.25 2x1 put spds, 0.25-0.5 net ref 94.575
  • Block, 12,000 0QH4 97.25 calls, 5.5 ref 95.62
  • Block, 40,000 SFRZ3 96.0 combo, 145.75 net vs. 94.53/100% - parity play, more on screen
  • 7,650 SFRZ3 94.25/94.32/94.38/94.43 put condors, 1.25
  • 3,000 SFRF4 94.62/94.75/94.87/95.00 call condors ref 94.62
  • 3,500 SFRH4 94.75/94.87/95.00/95.12 call condors ref 94.62
  • 1,500 0QV3 95.25 puts vs. 0QV3 95.62/95.87 call spds on 1x2 basis, ref 95.395
• Treasury Options:
  • 7,500 FVZ3 105/106/106.75/108.25 broken call condors, 18.5
  • -10,500 TYX 108/109.5 call spds 35 vs. 107-30.5/0.24%
  • Block, 13,000 TYZ3 104 puts 17 vs. 107-27/0.15%
  • 6,000 TYX3 109.5/111/112 1x3x2 broken call flys
  • -5,000 TYX3 107/110 strangles, 43
  • over 3,700 USX3 114 puts, 122 last
  • over 4,500 TYZ3 113 calls, 9 last
  • 3,000 TYZ3 108/109.5 put spds ref 108-14
  • 2,500 FVX3 105.5/106.5 call spds ref 105-13.5
  • 3,700 TYZ3 113/115 call spds ref 108-14