Late SOFR/Treasury Option Roundup

SOFR and Treasury options trade remained mixed/two-way, option accts plying the sidelines ahead of Tuesday morning's CPI data for October. Underlying futures steady to mixed in late trade, short end outperforming. Projected rate cut chance into early 2024 steady/near recent lows: December at 3.6bp at 5.363%, January 2024 cumulative 7.1bp at 5.398%, while March 2024 pricing in -16.5% chance of a rate cut with cumulative at 3bp at 5.356%, May 2024 cumulative -6.2bp at 5.265%. Fed terminal at 5.395% in Feb'24.

• SOFR Options:
  • -5,000 SFRH4 94.00/94.37 put spds, 4.25
  • +5,000 SFRF4 94.75/94.87 call spds, 1.75
  • Block, -10,000 0QZ3 96.00 calls, 3.0 ref 95.39
  • -4,000 SFRH4 95.75 calls vs. 94.50/94.62 put spds, 0.0 net/call over
  • +3,500 SFRF4 94.68/94.81 strangles, 22.0
  • 2,000 0QZ3 95.12/95.37/95.50/95.62 put condors ref 95.41
  • 5,000 SFRZ3 94.43/94.50/94.56/94.62 put condors ref 94.58 to -.5825
  • 1,500 SFRF4/SFRG4 94.68/94.75/94.81/94.87 call condor spd ref 94.65
  • 1,500 SFRF4 94.50/94.62/94.68/94.75 broken put condors ref 94.65
  • 1,100 SFRZ3/SFRF4 94.62 straddle spd
  • 2,000 SFRF4 94.43/94.50 put spds vs 94.68/94.87 call spds ref 94.64
  • 1,000 SFRZ3 94.50/94.56/94.62 put flys ref 94.58
  • 1,500 SFRG4 94.68/94.81 call spds
  • 2,200 SFRH4 94.37/94.56/94.81 put trees
  • 1,000 SFRH4 94.68/94.75/94.81/94.87 call condors ref 94.64
  • 3,400 SFRH4 94.68 puts ref 94.64
• Treasury Options
  • Block, 25,000 TYZ3 108.5/109.5 call spds, 9 ref 107-14.5
  • Block/screen +50,000 wk3 TY 105.75/106.25 put spds, 4 ref 107-10.5
  • -4,000 FVG 108 calls 13.5-13 vs. 105-07
  • -6,200 TYZ3 107.25 puts, ref 107-05, total volume over 10,300
  • over 4,000 FVZ3 103.5/104.25/104.75 broken put trees
  • 1,500 FVZ3 105/106/106.75/107.75 call condors
  • 3,000 TYH4 104.5 puts, 42 ref 107-13
  • over 3,200 TYZ3 107.25 puts
  • 3,800 wk3 TY 106.5 puts, 10 ref 107-09
  • 9,600 Wed/weekly TY 107.75/108.5/109 broken call trees, 8 ref 107-09