Late SOFR/Treasury Option Roundup: Better Put Trade

SOFR and Treasury option continued to rotate around better low delta covered puts and spreads Monday as year-end rate hike projections gained traction: Sep 20 FOMC steady at 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +11bp at 5.441, while December cumulative of climbed to 12.6bp at 5.457%. Meanwhile, the Fed terminal rate from a flat 5.44% in Nov'23-Jan'24 to 5.455% in Dec'23-Jan'24.

• SOFR Options:
  • 2,000 0QZ3 96.68 calls, 6.5
  • 1,600 SFRV3 94.50/94.56/94.62/94.68 put condors
  • 8,000 SFRX3 94.31/94.43/94.50 broken put trees ref 94.555
  • Block, 2,500 SFRZ3 93.87 puts, .75 vs. 95.54/0.05%
  • Block 4,500 SFRF4 94.18/94.37 3x2 put spds, 3.5 ref 94.695 to -.70
• Treasury Options:
  • 3,000 FVV3 106.75 calls, 12 ref 106-05.75
  • Block, 18,000 wk3 TY 110.25/111.25 call spds, 10 vs. 109-23/0.21%
  • 1,600 TYX3 108 puts, 29-28 vs. 109-23 to -23.5
  • 12,000 TYX3 108/109.5 3x2 put spds, 38-39 ref 109-21.5 to -22.5
  • over 11,000 TYV3 109 puts, 18-19 ref 109-23
  • -5,000 USX3 116/121 call over risk reversals, 9 net vs. 118-28
  • over 4,700 TYV3 111.5 calls, 6 last
  • over 5,200 TYV3 109 puts, 20 last
  • over 4,300 TYV3 108.5 puts, 11 last
  • over 3,500 wk3 TY 109 puts, 9 last ref 109-23.5
  • 4,400 TYV3 111.5 calls, 6 ref 109-22
  • over 3,600 USX3 118 puts, 136 last
  • 2,000 FVV3 104.5/105.5 put spds