Late SOFR/Treasury Option Roundup: Bullish Post-CPI Hedging

SOFR and Treasury options posted heavier volumes Tuesday, trade decidedly bullish as underlying futures surged higher following lower than expected CPI inflation data for October. Large call spread buys and put spread unwinds noted below. Projected rate cut resurfaces in early 2024: December at 0bp at 5.338%, January 2024 cumulative -.5bp (7.1bp pre-CPI) at 5.332%, March 2024 pricing in -32.9% chance of a .25 rate cut (-16% pre-CPI) with cumulative of -8.7bp at 5.240%, May 2024 pricing in -52.8% chance of a rate cut with cumulative of -21.9bp at 5.108%. Fed terminal has fallen to 5.325% in Feb'24 vs. 5.405% pre-CPI.

• SOFR Options:
  • +50,000 SFRF4 95.00/95.12 call spds, 1.5
  • Block, 10,000 0QZ3 95.75/96.00 call spds, 6.5 ref 95.66
  • Block, 5,000 SFRH4 94.00/94.18/94.37 put flys, 0.75 ref 94.775
  • -20,000 0QZ3 95.37/95.50 put spds 3.75
  • Blocks, 12,500 SFRZ3 94.06/94.37/94.43/94.56 put condors, 0.75-1.0 ref 94.63
  • Block, 6,000 SFRF4 94.37/94.50/94.62 put flys, 1.0 ref 94.77
  • 2,000 SFRZ3 94.62/94.68/94.75 call flys,
  • 6,000 SFRM4 96.00 calls vs. SFRU4 97.00 call spread
  • Block, 5,000 SFRJ4 95.25/95.37 call spds, 3.25 ref 95.035
  • 4,000 SFRZ3 94.50 puts ref 94.5725
  • Block, 10,000 0QZ3 95.75/96.00 call spds, 3.75/splits ref 95.43
  • Block, 5,000 SFRZ3 94.62/94.68 call spds 0.5 over SFRZ3 94.37 puts ref 94.575
  • Block, 2,587 SFRZ3 94.43/94.56 put spds 1.0 over SFRZ3 94.62 calls ref 94.575
  • 6,275 SFRF4 94.68/94.75/94.81/94.87 call condors ref 94.645
  • 2,000 SFRF4 94.43/94.62/94.75 put flys
  • 2,000 0QZ3 95.31 puts ref 95.445
  • 3,300 SFRH4 94.12/94.25 put spds
  • 4,600 SFRH4 94.56/94.68/94.81 put flys, ref 94.645
  • 5,000 SFRH4 94.75/95.00 call spds ref 94.645
• Treasury Options:
  • 10,000 Wed/wkly TY 105.5/106.75 1x2 put spds
  • 3,000 TYZ3 112 calls, 1 ref 108-25.5
  • 3,000 TYZ3 107.5/108 put spds, 6 ref 108-25
  • Block +10,000 TYF3 103.5 puts, 3 ref 109-00.5
  • 2,800 USZ3 116/117/118/119 call condors, 10 ref 115-10
  • 7,000 TYF4 109.5/111 1x2 call spds, 5 ref 109-01.5
  • over 11,000 TYZ3 109 calls, 18-19 ref 108-13.5
  • 2,000 FVZ3 104.75 puts, 3 ref 105-24.5
  • Update, over 31,000 Wed/wkly TY 109 calls ref 107-16 to 108-14.5
  • 5,000 USZ3 116/119 call spds ref 113-13
  • over 5,100 TYZ3 107 puts
  • 6,000 Wed/wkly TY 106.25/106.75 put spds ref 107-16.5
  • 2,400 TUZ3 101.37/101.75 call spds ref 101-08.25
  • 8,700 Wed/wkly TY 108.5 calls, 3 ref 107-17