Late SOFR/Treasury Option Roundup

Interest in low delta SOFR and Treasury puts and put structures gained traction as underlying futures extended lows well after this morning's CPI data. Curves bear steepened as bonds traded back to early Monday levels. Projected rate hikes into early 2024 are holding near session highs has as weaker short end rates outperform bonds in post-auction trade: November up to 11.9% vs. 9.8% earlier, w/ implied rate change of +3bp to 5.358%, December cumulative of 10.6bp at 5.433%, January 2024 10.9bp at 5.438%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.44% in Feb'24.

• SOFR Options:
  • Block, -10,000 2QH4 94.75/95.00 put spds, 2.75 ref 95.94
  • Block, 6,000 SFRZ3 94.50/94.56/94.62 call flys, 0.5 ref 94.53, more on screen
  • 1,500 SFRM4 94.50/95.00 2x1 put spds
  • 8,000 SFRZ3 94.68/94.75/94.81/94.87 call condors ref 94.575
  • 3,500 SFRX 94.43/94.50 put spds ref 94.575
  • 9,000 SFRX3 94.62 calls ref 94.57
  • 4,600 SFRV3 94.50/94.56/94.62 call flys ref 94.57 to -.575
  • Block, 5,000 SFRV3 94.50/94.56 put spds, 1.25 ref 94.575
  • 3,000 SFRV3 94.50 puts ref 94.575
• Treasury Options:
  • over 39,000 TYX3 107 puts, 39-35 ref 107-06.5 to -08
  • over 46,000 TYZ3 105 puts, 27 last ref 107-06
  • 2,000 USZ3 107/108/109/110 put condors
  • 3,000 USX3 105/107 put spds vs. USX 116/118 call spds
  • 5,000 FVX3 105.25 puts, 36.5 ref 105-01
  • 2,000 TYZ3 103/104/105/106 put condors, 11 ref 107-16
  • 16,000 FVX3 105.25/105.75/106.25/106.75 call condors ref 105-15.75
  • 1,500 TYX3 108/109/110 call flys, 14 ref 108-04
  • 8,000 TYZ3 105/106/107.5 TYZ3 broken put flys on 2x3x1 ratio
  • 2,500 TYX3 107 puts, 19 ref 108-03.5
  • 1,500 TYX3 108/108.5 put spds ref 108-03