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Late SOFR/Treasury Option Roundup

US TSYS

Reported SOFR and Treasury option flow was mixed on net Tuesday, low delta calls emerged during midday trade after better put trade carried over from London hours. Projected rate cut in early 2024 largely static: December at 1.2bp at 5.343%, January 2024 cumulative 1.2bp at 5.343%, March 2024 pricing in -29.1% chance of a rate cut with cumulative at -6.1bp at 5.270%, May 2024 pricing -45.6% chances with cumulative at -18.2bp at 5.149%. Fed terminal at 5.345% in Jan'24-Feb'24.

  • SOFR Options:
    • Block, 8,000 SFRU4 95.25/95.87 call spds, 19.5 vs. 95.295/0.19%
    • +20,000 SFRU4 97.00/98.00 call spds, 6.0
    • +10,000 SFRM4 96.00/97.00 call spds, 6.0
    • +5,000 2QH4 96.25 calls, 30.5 vs. 96.245/0.50%
    • 2,100 2QH4/2QU4 97.50/98.50 call spd spd
    • Block, 5,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 2.0 ref 94.755
    • Block, 2,500 2QZ4 96.50/97.25 2x3 call spds vs. 2,500x2 2QZ4 94.75/95.00 put spds, 18.5
    • -45,000 SFRH4 94.50 puts 1.5 over SFRH4 95.00/95.25 call spds ref 94.755 to -.745
    • 10,000 0QZ3 94.87/95.25/95.50 broken put flys ref 95.585
    • 2,000 3QZ3 95.50/95.75 put spds ref 96.255
    • 2,100 2QH4/2QU4 97.50/98.50 call spd spds
    • 4,000 SFRG4 94.00/94.12 put spds ref 94.75
  • Treasury Options:
    • 6,000 TYF4 115.5 calls, 2 ref 109-19
    • 6,000 TYG4 107 puts, 30 ref 109-11.5
    • 2,000 USH4 122 calls, 112 ref 115-30
    • 1,000 TUZ3 101.75/101.87 call spds
    • 8,800 TYZ3 108.5/109.5 call spds, 29 ref 108-29
    • 2,000 TYF4 106.5/107/108.5 2x3x1 broken put flys ref 109-09
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