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Late SOFR/Treasury Option Roundup

US TSYS

Myriad SOFR option flow reported below, while mixed, volumes leaned towards upside SOFR calls, fading softer futures ahead tomorrow's FOMC. Underlying futures reversed early gains while projected rate hikes into early 2024 inched higher: November steady at 0% to 5.325%, December cumulative of 6.8bp at 5.397%, January 2024 cumulative 9.9bp at 5.427%, March 2024 at 7.2bp at 5.401%. Fed terminal at 5.430% in Feb'24.

  • SOFR Options:
    • over 5,500 SFRG4 94.25/94.37 put spds vs SFRH4 94.75/94.87 call spds
    • Block, 30,000 SFRH4 95.00/95.12 call spds, 1.0 ref 94.615 - .62
    • Block, -5,000 SFRM4 96.00/97.00 call spds, 8.0 ref 94.825
    • Block, 10,000 SFRM4 94.00/94.37 put spds, 7.5 vs. 94.83/0.15%
    • +4,000 SFRZ3 94.62/94.75 call spds 1.0 vs. 94.565/0.15%
    • -5,000 SFTU4 94.75/96.75 call spds 16.25
    • Block, +10,000 SFRM4 94.00/94.37 put spds 7.5 vs. 94.83/0.15%
    • +10,000 SFRG4 94.25/94.37 put spds 2.75 vs. 94.64/0.08%
    • +3,000 SFRZ3 94.31/94.37/94.43/94.50 put condors, 1.75
    • +5,000 SFRZ3 94.75 calls, 2.75 vs. 94.57/0.20%
    • 2,500 SFRH4 94.75/95.75 call spds vs. SFRF4 95.00 calls, 0.0
    • Block, 3,000 SFRU4 95.00/96.00/97.00 call flys, 12.0 ref 95.15
    • 2,000 SFRZ3 94.37/94.43/94.56/94.62 put condors ref 94.57
    • 1,500 SFRZ3 94.56/94.62/94.68 call flys
    • 15,000 SFRZ3 94.62/94.75 call spds ref 94.575
    • 1,000 SFRH4 94.18/94.62/94.68/94.87 broken put condors ref 94.66
    • 1,750 SFRX3/SFRZ3 94.50 put spds ref 94.57
    • 2,150 SFRH4 94.75/95.12/95.50 put trees vs. SFRF4 94.75 calls
    • 8,000 SFRZ3 94.68 calls, 2.75-3.25 ref 94.57
    • 3,500 0QZ3 94.93/95.06/95.18 put flys ref 95.40
  • Treasury Options:
    • 5,000 USZ3 102 puts, 10 ref 109-20
    • appr -5,600 TYZ3 104.5/108 strangles (13-14) vs. +16,200 TYZ3 103/109.5 strangles (13) ref 106-16, even to 1cr net for the iron condor
    • 2,500 FVZ3 105/106/106.5 broken call flys, ref 104-15.75
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