Late SOFR/Treasury Option Roundup: Bullish Positioning Ahead Nov Jobs

Mixed SOFR and Treasury options segued to better bullish call/put positioning ahead Friday's headline employment data for November. Underlying futures off lows after retreating from new 3M highs in TYH4 overnight (111-09.5). Short end outperforming as rate cut projections for 2024 firm up slightly: December flat at 5.333%, January 2024 cumulative -3.7bp at 5.293%, March 2024 chance of rate cut at -56.2% vs. -55.2% this morning with cumulative of -17.7bp at 5.152%, May 2024 back up to -74.2% vs. -69.1% this morning, cumulative -36.3bp at 4.967%. Fed terminal at 5.33% in Feb'24.

• SOFR Options: (continued interest in early 2024 rate cut hedging via flys after some 80k bought covering more aggressive cuts in Jan and April SOFR expirys late Wednesday)
  • +6,500 SFRM4 95.12/95.25/95.37/95.50 call condors, 1.5
  • Blocks, 10,000 0QH4 97.25/97.75 call spds, 4.5-5.0 ref 96.255
  • Blocks, total 30,500 SFRF4 94.62/94.75 put spds from 1.75-2.0 ref 94.88 to -.895
  • +36,000 SFRH4 94.75/94.87/95.00 call flys 1.25-0.75 ref 94.88
  • 14,000 SFRH4 94.75/94.87 2x1 put spds ref 94.865
  • 15,000 SFRZ3 94.62 puts, 1.5 ref 94.63
  • 2,000 2QZ3 96.56/96.75/96.93 call flys
  • 2,500 0QZ3 96.00/96.12/96.25/96.37 call condors ref 95.93
  • 2,000 SFRM4 94.50/94.75/97.87 put trees ref 95.22
• Treasury Options: (myriad smaller trades from TYF 107.5 puts to 113.5 calls)
  • 12,300 wk3 TY 113.5/114/114.5 call trees ref 111-01
  • +8,000 wk3 TY/TYF4 109 put spds 6
  • -22,500 TYF4 106.5/108.5 put spds 6 ref 110-30.5 to -29.5
  • -7,000 TYF 116/118 call spds 1 vs. 110-27.5
  • 2,000 FVF 109/109.5/110 call trees ref 107-16
  • 20,000 wk3 10Y 110/112 strangles 43 ref 110-26 (expire Dec 15)
  • 6,000 TYF4 108.25 puts, 8 ref 110-26 to -26.5
  • 9,000 TYF4 109 puts, 13 last
  • 4,000 TYF4 108/108.5/109 put flys, 5 ref 110-25
  • 10,500 TYF4 110 puts, 33 ref 110-25.5
  • 6,000 TYF4 112/113 call spds, 17 ref 111-03