Late SOFR/Treasury Option Roundup

SOFR and Treasury options traded mixed on decent volume Tuesday as underlying futures adjusted to "higher for longer" monetary policy, heavy selling to new cycle lows, 10Y yield marked new 16Y high at 4.806%. Rate hike projections into early 2024: November at 30.5% w/ implied rate change of +7.6bp to 5.405%, December cumulative of 13.3bp at 5.462%, January 2024 13.4bp at 5.463%. Fed terminal at 5.46% in Jan'24-Feb'24.

• SOFR Options:
  • 1,500 SFRH4 94.56/94.68/94.75/94.87 call condors ref 94.58
  • Block, +5,000 0QZ3 96.00 calls 9.0 ref 95.295
  • Block, 5,000 SFRX3 94.75 calls vs. 10,000 SFRZ3 94.00 puts, 0.0 net
  • Block, 7,500 SFRF4 94.62/94.68/94.81/94.87 call condors, 1.0 vs. 94.55/0.05%
  • Block, 5,000 0QZ3 96.00 calls, 9.5 ref 95.36
  • Block/pit, -55,000 0QV3 95.62/95.87 call spds, 1.5 ref 95.32
  • 2,000 0QV3 and 0QX3 95.87/96.12/96.37 call flys
  • 2,500 SFRU3 94.31/94.50 2x1 put spds
  • 2,000 SFRU4 94.50/94.62 put spds ref 95.01
• Treasury Options:
  • Block, -13,557 TYX3 107.5 puts, 124 ref 106-22
  • -35,000 FVZ3 105/105.75/106.5 call trees, 1 to 0, ref 104-20 to -19.5
  • 3,400 TYX3 108/109 call spds, 17 ref 107-01.5
  • 5,000 TYZ3 110.5 calls 17 ref 107-01.5
  • 7,000 TYX3 106.5 puts, 42 ref 107-02.5
  • 1,000 TYX3 106/107 put spds, 20 ref 107-02.5, total volume over 4k
  • 2,000 USZ3 124 calls, 8 last
  • over 3,600 FVX3 106 calls, 11 last
  • over 3,800 TYZ3 108 calls, 34 last
  • over 13,500 weekly 10Y midcurve 108.5 calls, 4 ref 107-06