Late SOFR/Treasury Option Roundup

SOFR/Treasury option flow remained mixed on moderate volumes Friday, SOFR leaning towards better low delta calls as underlying futures held gains since midmorning. Ongoing Middle East conflict spurred safe haven buying early. Projected rate hikes into early 2024 are consolidating: November holding at 7.8%, w/ implied rate change of +1.9bp to 5.348%, December cumulative of 8.3bp (10.6bp late Thu) at 5.412%, January 2024 cumulative 8.1bp (10.6bp late Thu) at 5.410%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.41% in Jan'24-Feb'24.

• SOFR Options: Reminder, October options expire Friday
  • +5,000 SFRH4 95.50/96.00/96.50 call flys, 1.0
  • Block, 5,000 SFRM4 96.00/97.00 call spds, 8.5 vs. 94.86/0.10
  • +10,000 SFRZ3 95.00/95.50 call spds, 1.0 vs. 94.54/0.05%
  • -4,000 0QX3 95.25 puts, 8.5
  • +2,500 SFRZ3 94.56/94.68/94.81/94.93 call condor w/ 94.62/94.87/95.00 call fly, 6.75 total db
  • Block, 5,000 SFRZ3 94.06/94.37/94.43 broken put trees, 1.5 1-leg over vs. 94.565/0.10%
  • 2,000 0QZ3 94.75/95.00/95.25 2x3x1 put fly ref 95.43
  • 3,000 0QZ3 95.25/95.50 put spds vs. 2QZ3 95.87/96.12 put spds
  • 2,500 0QZ3 95.50 calls 21.0 last
  • 8,000 SFRZ3 94.62/SFRF4 94.68 put calendar spd
  • 5,000 SFRZ3 94.56 straddles ref 94.555
  • 5,000 SFRV3 94.56/94.62/94.68/94.75 call condor ref 94.555 to -.56
  • 4,500 SFRV3 94.50/94.62 put spds ref 94.56
  • 1,000 SFRX3/SFRZ3 94.62/94.68 call spd spd ref 94.555
• Treasury Options:
  • 10,000 TYX3 108 calls, 42 ref 107-30/0.46% total volume >15k
  • 2,500 USZ3 104/106/108/110 put condors, 19 ref 112-31
  • 7,000 TYX3 108.5 calls, 24
  • over 4,200 FVZ3 106.5 calls, 19 last
  • over 2,400 FVZ3 104 puts, 17.5 last
  • over 5,400 TYZ3 109 calls, 37 last
  • over 4,600 TYX3 106 puts, 8 last
  • over 4,400 TYX3 107 puts, 22 last
  • over 6,600 TYX3 109 calls, 14 last