Late SOFR/Treasury Option Roundup

SOFR/Treasury options trade revolved around low delta call structures Monday as safe haven support in underlying futures continued in late trade. As such, rate hike projections into early 2024 continue to moderate as rates climbed higher: November at 14% (22.2% this morning vs. 30.5% late Fri) w/ implied rate change of +3.2bp to 5.361%, December cumulative of 6.9bp (9.9bp this morning vs. 12.4bp late Fri) at 5.398%, January 2024 4.4bp (11.9bp Fri) at 5.413%. Fed terminal slips to 5.395% in Jan'24.

• SOFR Options:
  • 1,400 0QX3 95.75/96.00 1x2 call spds ref 95.54
  • 5,000 0QX3 95.00 puts ref 95.54
  • 3,000 SFRZ3 94.62/94.75 call spds, ref 95.54
  • 2,000 0QZ3 95.75/96.00 call spds ref 95.54
  • 2,000 0QV3 95.62/95.81 1x2 call spds ref 95.51
  • 2,000 SFRZ3 94.25/94.37 put spds, 1.25 ref 94.575
  • 1,500 0QV3 95.12/95.25/95.37 put flys
  • 2,000 0QX3 95.75/96.25/96.50 broken call flys on 1x3x2 ratio ref 95.495
  • 1,500 0QV3 95.25/95.37/95.62/95.87 put condors ref 95.49
  • 3,000 SFRZ3 94.25/94.37/94.43/94.50 put condors, ref 94.56
  • 1,100 SFRH4 95.50/96.50 1x2 call spds ref 94.675
  • 2,000 SFRZ3 94.37/94.43 2x3 put spds, ref 94.555
  • 4,000 SFRM4 94.87/95.87 call spds
  • 6,000 SFRM4 97.50 calls, 5.5 ref 94.885
• Treasury Options:
  • over 5,000 TYX3 105.5/106.5 put spreads, 15 ref 107-21
  • 10,000 weekly 10Y 105/106 put spds, 5 ref 107-18
  • 2,000 TYZ3 109 calls, 43 ref 107-13.5
  • 1,400 FVX3 108/109/110 call trees, ref 105-04.25
  • 5,500 FVX3 107.75 calls, 3.5 ref 105-03.5
  • over 15,900 TYX3 109 calls, 17 ref 107-08 to -09
  • 1,500 TYZ3 109 calls, 34 ref 107-03.5