Late SOFR/Treasury Option Roundup

Option desks reported better Treasury put trade on net Monday, while SOFR options leaned toward calls on lighter volumes as traders plied the sidelines to await Wednesday's FOMC policy annc, NFP employment data on Friday. Underlying futures weaker, but off lows after US Tsy borrowing estimates came out appr $75B less than estimated ($776B vs. $852B). Meanwhile, projected rate hikes into early 2024 gain slightly: November steady at 0% to 5.325%, December cumulative of 5.8bp at 5.387%, January 2024 cumulative 8.4bp at 5.413%, March 2024 at 4.3bp at 5.371%. Fed terminal at 5.415% in Feb'24.

• SOFR Options:
  • 2,000 2QH4 96.75/97.00/94.75 call flys ref 95.85
  • +7,500 0QM4/2QM4 96.00 call spds, 1.5 net short Jun over
  • 9,000 0QZ3 95.68/96.37 call spds ref 95.375
  • 1,000 2QZ3 96.00/96.25/96.50/96.75 call condors ref 95.865
  • 1,000 0QF4 95.12 puts vs. 2,000 2QF4 95.00/95.25 put spds
  • 2,000 0QX3 94.87/95.18/95.37 broken put fly ref 95.42
  • 1,250 SFRF4 94.75 straddles, 37.75 ref 94.67
• Treasury Options:
  • +12,000 wk2 10Y 104.5 puts, 12 to 11 ref 106-02.5
  • 2,500 TYZ3 109 calls, 11
  • 5,300 FVZ3 104/104.25 put spds ref 104-13.5
  • +15,000 TYZ3 104.75/105/106 put trees, 2 cr ref 106-08.5
  • 1,500 TYZ3 103/104.5 3x1 put spds vs. TYZ3 108/109 1x3 call spds ref 106-00
  • over 65,000 TYZ3 105 puts, 33-35 ref 106-02
  • over 8,900 weekly 10Y 107 calls, 9-10 ref 106-11.5 to -12.5
  • 2,500 FVZ3 103/103.5 put spds ref 104-18.75
  • 3,500 TYZ3 105/106 put spds 4 over TYZ3 108 calls ref 106-08.5