Late SOFR/Treasury Option Roundup

Better SOFR put option volume carried over from overnight, underlying futures unwinding a large portion of last Friday's post-jobs miss rally. Projected rate cut chance into early 2024 have moderated: December holds at 2.4bp at 5.347%, January 2024 cumulative 4.4bp at 5.368%, while March 2024 pricing in -27.1% chance of a rate cut (-30.9% this morning) with cumulative at -2.4bp at 5.300%, May 2024 cumulative -14.0bp vs. -16.5bp earlier at 5.184%. Fed terminal at 5.365% in Feb'24.

• SOFR Options:
  • Block, 15,000 0QZ3 95.37/95.50 put spds 6.0 ref 95.59
  • Block, 10,000 SFRH4 94.25/94.34/94.81/95.56 broken call condors ref 94.75
  • Block, +35,000 SFRM4 93.62/94.12 put spds, 2.5 ref 95.01
  • Block, 15,000 SFRF4 93.87/94.37 put spds, 1.5 ref 94.755
  • +7,500 SFRH4 94.25/94.37/94.50 put trees, 0.5 net 1-leg over
  • +4,000 SFRH4 95.00/95.25 call spds 0.5 over 94.12/94.37 put spds
  • 18,000 SFRG4 94.25/94.37 put spds ref 94.755
  • 1,000 SFRF4 94.62/94.81/95.00 1x3x2 call flys ref 94.76
  • over 10,200 SFRF4 94.25 puts, cab ref 94.76
  • Block, 10,000 SFRF4 94.12/94.25 put spds, cab ref 94.76
  • 5,000 SFRF4 94.00/94.25/94.37 broken put flys
  • Block, 3,750 SFRH4 93.62/94.00 put spds, 0.75 ref 94.765
  • 6,000 0QZ3 95.00/95.31/95.56 broken put flys ref 95.62
  • 4,000 0QZ3 95.31 puts, ref 95.62
  • 6,500 0QF4 95.12/95.43/95.75 put flys ref 95.865
  • 3,000 SFRF4 94.43/94.56/94.68 put flys ref 94.75
  • 2,000 0QZ3 95.06/95.43/95.75 2x3x1 broken put flys ref 95.605
• Treasury Options:
  • +9,000 TYF4 111/112.5 call spds 4 over TYZ3 111 calls
  • 2,000 TYF4 110/111.5 1x2 call spds ref 108-16.5
  • 1,000 TYZ3 109.5/110/110.5 call flys, 5 ref 108-04
  • 2,000 TYZ3 105.5 puts, 5 ref 108-03