Late SOFR/Treasury Option Roundup

SOFR and Treasury option trade remained mixed but leaned slightly toward better low delta puts and put spreads Thursday. Underlying futures have continued to gain in the second half, near late session highs at the moment. Rate hike projections into early 2024 have cooled slightly as lower crude prices tempered inflation concerns in the short term: November at 20.7% w/ implied rate change of +5.2bp to 5.379%, December cumulative of 10bp at 5.428%, January 2024 10.5bp at 5.432%. Fed terminal at 5.425% in Jan''24-Feb'24.

• SOFR Options:
  • Block, 73,000 SFRZ3 96.00 combos vs. 94.53/100% at 1059ET, 40k Blocked yesterday
  • Block, -10,000 SFRF4 94.12/94.25 put spds, 1.25 ref 94.61
  • Block, 10,000 SFRH4 95.50/95.75 call spds, 1.75 vs. 94.605/0.05%
  • 8,000 SFRX3 94.31 puts ref 94.525
  • 2,000 0QX3 95.31/95.50/95.75 call trees ref 95.315
  • 7,000 0QZ3 95.68/96.37 call spds ref 95.325
  • Block, 3,750 SFRM4 95.50/96.00/96.50 call flys, 2.0 ref 94.765
  • 2,500 SFRZ3 94.37 puts, 3.5 ref 94.525
  • 2,400 0QZ3 95.5/96.00 put over risk reversals, 29.5-30.0 ref 95.305 to -.315
• Treasury Options:
  • -12,740 TYX3 107.5 puts 17 over TYZ3 105.5 puts
  • Block, 10,000 TYZ3 103 puts, 13 ref 107-20.5
  • 3,000 TYZ3 105.5 puts, 33 ref 107-24.5
  • 10,000 TYX3 105.5/106.5/107.5 put flys, 11 ref 107-17.5
  • over 3,200 TYX3 111.5 calls, 5 ref 107-16.5
  • 6,500 TYZ3 111/113 call spds ref 107-21 to -18
  • 1,000 TYX3 105/106/107 put flys, 8 ref 107-21
  • 1,800 TYX3 106.5 puts, 31 ref 107-22