Late SOFR/Treasury Option Roundup: Discounting Higher for Longer

SOFR/Treasury option volumes were well off Thursday's heavy pace Friday. Early put trade segued to more interest in buying wing insurance as underlying rates bounced off lows in the first half - discounting Wed's FOMC hawkish hold messaging. As such, rate hike projections into early 2024 continued to cool in late trade: November at 22.8% w/ implied rate change of +5.7bp to 5.384%, December cumulative of 12.6bp at 5.453%, January 2024 13bp at 5.458%. Fed terminal at 5.455% in Feb'24.

• SOFR Options:
  • +5,000 SFRX3 94.62/94.81 call spds, 1.0 ref 94.53
  • Block, 20,000 SFRX3 94.43/94.50/94.62/94.68 put condors, 3.5 ref 94.525
  • Block, +20,000 SFRF4 93.87/94.37/94.43 broken put flys, +wings/1.25cr
  • Block, 10,000 SFRH4 93.75/94.50 2x1 put spds, 9.5 ref 94.61
  • Block, 5,000 0QV3 95.50/95.75/96.00 call flys, 3.0 vs. 95.365/0.10%
  • Block, 10,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 1.0 net vs. 94.65/0.05%
  • +8,000 SFRF4 94.56/94.62/94.75/94.81 call condors, 1.5
  • Block, 15,000 SFRZ3 96.00 combos vs. 94.53/100%
  • 5,000 0QZ3 94.87/95.12 2x1 put spds ref 95.325
  • 8,000 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.325
  • 12,000 0QV3 95.43 calls, 10.0 ref 95.345
  • 2QV3 95.56/95.81 put spds ref 96.005
• Treasury Options:
  
  • over 14,000 TYX3 17.5 puts, 27 ref 108-24
  • 5,000 FVX3 106/107 1x2 call spds
  • -9,750 FVZ3 105.5 puts 32.5 over FVZ3 106.5/108 call spds ref 105-16
  • +2,400 TYF4 106-111.5 strangles, 113
  • Update, over 45,400 TYV3 108.25 puts, 1-3 ref 108-15
  • over 7,000 TYX3 106/108 put spds, 30 ref 108-17 to -17.5
  • 1,500 USV 114/116 put spds, 13 ref 116-02
  • over 2,300 USX3 114 puts, 102 ref 116-06
  • 2,000 TYV3 108.5/108.75 put spds, 7 ref 108-16.5
  • 1,500 FVV3 105.75 calls, 1 ref 105-12.5