Late SOFR/Treasury Option Roundup

With few exceptions, SOFR and Treasury option trade continued to favor low delta calls and call structures Friday. Still bid in late trade, underlying futures pared support with EGBs into the European close. Rate hike projections into early 2024 continued to recede: November at 18.6% w/ implied rate change of +4.7bp to 5.374%, December cumulative of 9.8bp at 5.425%, January 2024 10bp at 5.427%. Fed terminal at 5.425% in Jan'24-Feb'24.

• SOFR Options:
  • Block, +7,500 SFRH4 97.00 straddles 181.0 vs. 95.73/0.50% vs.
  • Block, -5,000 SFRZ5 96.50 straddles 161.5 vs. 96.08//0.18
  • Block, 15,000 SFRH4 94.25/94.62/94.81/95.56 call condors, 13.5
  • +10,000 SFRH4 94.75/95.25 call spds, 7.75 vs. 94.64/0.20%
  • Block, 5,000 0QZ3 95.62/96.00 put spds 28.0 vs. 95.445/.20% vs.
  • Block, 5,000 2QZ3 96.12/96.50 put spds, 24.5 vs. 96.08/0.10%
  • -1,500 SFRZ4 95.50 straddles, 116.5
  • +5,000 0QX3 95.50/95.75 put spreads 17.0 ref 95.445
  • 3,600 SFRX3 94.87/95.00 call spds ref 94.55
  • +28,000 SFRZ3 94.62/94.68/94.75/94.81 call condors, 1.5 ref 94.555
  • 3,500 0QV3 96.00 calls, .5 ref 95.43
• Treasury Options:
  • +25,000 TYX 111 calls, 7 ref 108-01.5
  • +20,000 TYX3 110/112 call spds, 11 ref 108-01.5
  • 1,750 TYZ3 107 puts, 50, total volume over 5,800
  • +9,000 FVX3 104.75/105.25 put spreads, 11.5 vs. 105-16/0.10%
  • 1,000 TUZ3 102/103/103.75 broken call flys ref 101-11.5
  • 2,100 FVZ3 106 calls, 35.5 last
  • 2,000 FVX3 106.25 calls, 16 ref 105-12.75
  • over 7,700 FVX3 106 calls, 21.5 ref 105-13.75
  • over 5,900 TYX 109 calls, 33 last
  • over 2,300 TYX3 107.5 puts ref 108-06
  • Block, 6,000 TYX3 106.25 puts, 16 ref 108-06
  • 2,000 TUZ3 103 calls ref 101-11.75
  • over 3,400 USX3 116 calls, 102 last