Late SOFR/Treasury Option Roundup

SOFR and Treasury option volumes surged Friday, focus on upside (read rate cut insurance) calls, particularly in SOFR options despite underlying futures paring early session gains and looking to settle mostly weaker. As such, early projected rate cut chances pared early gains: December at 0bp at 5.333%, January 2024 cumulative 0bp at 5.333%, March 2024 pricing in -28.1% chance of a rate cut (-33.9% this morning) with cumulative at -7bp at 5.262%, May 2024 pricing in -46.4% chance of a rate cut (-51.8% earlier) with cumulative -18.6bp at 5.146%. Fed terminal holds at 5.33% in Dec'23 through Feb'24.

• SOFR Options:
  • 2,000 SFRG4 94.18/94.37/94.50/94.68 put condors, ref 94.755
  • +4,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 2.25
  • Block, -3,790 0QZ3 95.43/95.87/95.93/96.06 2x4x4x2 call condors, 11.0 wings over
  • Update, appr +25,000 SFRF4 94.68/94.75/94.93/95.00 call condors, 2.25-2.50
  • Block, 5,000 SFRK4 95.00/95.50 2x3 call spds, 11.5 ref 95.02
  • +2,500 SFRU4 97.00/98.50 2x3 call spds, 13.0
  • +2,000 SFRZ3 94.62 straddles, 5.0
  • +6,000 SFRM4 94.25/94.50 2x1 put spds, 0.0
  • Block: 3,500 SFRM4 95.00/95.50 2x3 call spds, 14.0 net ref 95.03, adds to 2.5k on screen earlier)
  • Block: 5,000 0QZ3 94.43/95.87/96.18 1x3x2 call flys (9.5) w/ 0QZ3 94.43/95.87/96.25 1x3x2 call flys (8.5)
  • -10,000 SFRH4 94.62/94.75 call spds 4.75-4.5 over SFRH4 94.31/94.43 put spds vs. 94.785/0.20%
  • Block, 5,000 SFRF4 95.00/95.12 call spds, 1.25 ref 94.765
  • Block, 2,500 SFRM4 95.00/95.50 2x3 call spds, 13.5 net ref 95.03
  • +10,000 SFRM4 95.25/95.50/95.75 call flys, 2.25
  • Block, 5,000 SFRM4 94.87 puts, 20.0 ref 95.065
  • 2,500 0QZ3 95.25/95.43 put spds vs. 0QZ3 95.87/96.00 call spds
  • 3,000 SFRZ3 94.62/94.75 call spds ref 94.63
  • 3,000 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.71
  • 2,500 0QZ3 95.50/96.00 strangles ref 96.315
  • 6,200 SFRM4 95.25/95.50/95.75/96.00 call condors ref 95.06
  • 3,000 SFRF4 94.56/94.62/94.69 call flys ref 94.775
  • 5,000 0QH4 97.50/98.00 call spds ref 95.945
  • 2,500 SFRM4 95.25/95.62 call spds ref 95.035
• Treasury Options:
  • 7,750 TUZ3 102.25 calls, 1 ref 101-16.62
  • +13,500 FVZ3 106 puts, 20.5 ref 105-27.75 to -28
  • 3,000 TYZ3 110/110.5/111 call flys ref 109-06
  • 2,200 TYZ3 108.75/109.5 put spds 36 ref 109-05
  • 4,200 TYZ3 108.75 puts 2 over TYZ3 109.25/109.75 call spds
  • 8,900 TYZ3 107 puts, 1 ref 109-06
  • 9,900 FVZ3 107.25 calls, 2.5 ref 106-04
  • 2,000 TYF4 112.5 calls, 10 ref 109-09.5
  • 2,000 FVZ3 106.5 calls, 7 ref 105-31.75
  • 6,500 TYZ3 110 calls, 4 ref 108-28 to -28.5
  • 1,500 Wed/wkly TY 107.5/108/108.5 put trees, 9 ref 108-28.5