Late SOFR/Treasury Option Roundup

SOFR and Treasury options segued from better put trade to calls as this morning's employment data showed nearly twice the amount of jobs gained (+336k) than expected (+170k), quashing hopes of a continued rally in the underlying since Wednesday's lower than expected ADP - on hopes of softer policy ahead. Rate hike projections into early 2024 climbed back to Wednesday highs after this morning's data, spurring better put buying: November at 30.5% (22.2% pre-data) w/ implied rate change of +7.6bp to 5.405%, December cumulative of 12.4bp (9.7bp prior) at 5.452%, January 2024 11.9bp (8.4bp prior) at 5.448%. Fed terminal climbs to 5.45% in Jan'24.

• SOFR Options:
  
  • +10,000 SFRZ3 94.31/94.43 put spds, 3.25
  • Block, 6,000 SFRX3 94.50/94.56/94.62/94.68 call condors, 2.75 ref 94.525
  • Block, 5,000 2QH4 96.25/97.25 call spds even vs. 2QH4 95.00 puts, ref 95.84
  • 2,000 SFRX3 94.56/94.62/94.75 call trees ref 94.52
  • +5,000 SFRZ3 94.50/94.56/94.62/94.68 call condors, 1.75
  • 1,000 0QV3 95.50/96.00/96.25 1x3x2 call flys
  • Block, 4,000 SFRV3 94.37/94.50 put spds, 1.5 pre-data
  • 7,000 0QZ3 95.75/96.00 call spds ref 95.415
  • 4,000 SFRZ3 94.18/94.37/94.62 put flys, ref 94.555
  • 3,600 SFRV3 93.50/93.75/94.00/94.25 put condors, ref 94.55
  • 5,000 0QV3 95.25 puts, ref 95.435 to -.42
• Treasury Options:
  • Block, 7,991 FVX3 105.25/106.25 2x3 call spreads, 21.5 net ref 104-23.5
  • 9,320 FVX3 105.5/106.5 1x2 call spds, 4.5 ref 104-24.5. Same strikes blocked on 2x3 ratio pre-data
  • 1,750 TYX33 106/TYZ3 102.5 put calendar spreads
  • 7,500 TYZ3 102.5 puts, 13 ref 106-26
  • 3,000 TYX3 104.5/106 put spds, 21
  • 2,500 FVZ3 105.25/107 call spds 22.5 ref 104-18.75
  • 2,500 FVZ3 105.5/107 call spds, 20 ref 104-19.75
  • 5,000 FVX3 106.5/107.5 call spds
  • +8,000 FVZ3 108/109 call spds, 3
  • 7,000 FVX3 106/107 call spds
  • 5,500 FVX3 104 puts, 22 ref 104-15.25
  • 7,000 FVX3 104.25/104.5 put spds ref 104-14.5
  • 4,000 TYX3 108.25/108.75 call spds ref 106-18.5
  • 3,450 TUZ3 102 calls, 7 ref 101-06.25
  • Block, 15,000 FVX3 105.5/106.5 2x3 call spds, 21 ref 104-28.75, pre-data
  • 18,500 FVX3 105.5/106.5 call spds ref 104-29, pre-data
  • over 7,550 USX3 105/109 put spds ref 110-30
  • over 10,600 FVX3 106 calls, 16 ref 104-31.775