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Late SOFR/Treasury Option Roundup

Puts return after Monday's one-way call interest.

Decent overnight option volumes continued through the NY session, more paired as put interest returned following Monday's more one-sided call structure/rate cut positioning. Underlying futures remain mildly weaker after the bell, near session highs after another quiet data session, markets in holding pattern ahead CPI/PPI on Thursday/Friday. Projected rate cuts for early 2024 recovered slightly after unwinding Mon's gains: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -62.0% vs. -57.2% this morning w/ cumulative of -16.6bp at 5.163%, May 2024 chance of cut 86.8% vs. 85.6% this morning, cumulative -38.3bp at 4.946%. Fed terminal at 5.3275% in Jan'24.

  • SOFR Options: Reminder, Jan options, including midcurves, expire Friday
    • +4,000 SFRZ4 98.00/99.00 1x2 call spds 1.75
    • +5,000 SFRU4 95.75/95.87 call spds 1.5 over SFRU4 94.62 puts vs. 95.735/0.14%
    • +20,000 SFRH4 95.06/95.12 call spds, 0.75
    • -7,000 SFRJ4 95.00/95.75 call spds, 5.25
    • over +20,000 SFRH4 94.68/94.81/94.93/95.00 broken put condors
    • Block, 13,300 SFRU5 94.50/95.00 2x1 put spds, 4.0 net ref 95.718
    • +5,000 SFRM5 96.75/97.12 call spds 2.5 over SFRM5 94.87 puts
    • Block +15,000 0QF4 96.12/96.25 put spreads, 2.25
    • +8,000 2QJ4 96.00 puts, 5.5
    • Block, 2,500 SFRM4 95.25/95.75/96.25 call flys, 9.0 ref 95.335
    • Block, 6,000 94.93/95.18/95.50/95.62 broken put condors, .25
    • 5,200 0QH4 96.12/96.75 2x3 call spds ref 96.355
    • 4,000 SFRH4 95.00/95.12/95.25/95.37 call condors ref 94.905
    • 5,200 SFRZ4 94.75/95.75 2x1 put spds
    • 2,000 SFRM4 95.50/96.00 call spds vs. SFRMf 94.50/94.75 put spds ref 95.32
    • 8,000 SFRM4 95.50/95.87 call spds vs. SFRM4 94.62/94.87 put spds ref 95.325
    • 30,000 SFRG4 94.75/94.87/94.93/95.00 broken put condors
    • 2,000 SFRG4 95.00/95.12 call spds vs. 0QH4 96.56/96.68 call spds
    • over 8,700 SFRM4 95.50 calls ref 95.315/0.38%
    • 15,000 SFRH4 94.87/95.00/95.12 call flys ref 94.90 to -.905
    • 2,000 SFRM4 94.93/95.18/95.50/95.62 broken put condors ref 95.315
    • 6,000 SFRH4 94.75/94.87/94.93/95.00 broken put condors ref 94.905 to -.90
    • 4,000 SFRM4 94.62/95.00/95.37/95.50 broken put condors ref 95.32
    • 4,000 SFRM4 94.50/95.00/95.37/95.50 broken put condors ref 95.33 to -.325
  • Treasury Options:
    • 1,100 USH4 118 puts vs. 132 calls on 1x2 ratio
    • 2,500 wk2 TY 109/109.75/110.5 put trees vs. wk3 TY 109.25/109.75/110.25 put trees
USStoryRegionNorth America
USStoryRegionNorth America

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