Late SOFR/Treasury Option Roundup: Early Puts Fade, Calls Take Lead

Carryover rate hike insurance/put buying faded Early Wednesday as underlying futures rebounded, trading higher/near highs at the bell. Better SOFR and Treasury call interest reported as rate hike projections into early 2024 softened: November at 22.2% w/ implied rate change of +5.6bp to 5.384%, December cumulative of 9.7bp at 5.426%, January 2024 7.9bp at 5.408%. Fed terminal slips to 5.425% in Jan'24.

• SOFR Options:
  • Block, 5,000 SFRH4 94.75/95.25 call spd (8.0) with SFRH4 95.00/95.25 call spd (3.0), 11.0 total debit
  • Block, 5,000 SFRZ4 96.00/97.00/98.00 call flys, 10.0
  • Block, 5,000 SFRM4 96.50 calls, 10.5 ref 94.85
  • Block, 5,000 SFRM4 96.50/96.75/97.00 call tree on 2x1x2 ratio, 1.5 net, 3 legs over
  • Block, 50,000 SFRZ3 94.75/95.00 call spds, 1.5 ref 94.545
  • +10,000 3QV3 91.12/96.25 call spds, 1.25 ref 95.81
  • -5,000 SFRM4 96.00/97.00 call spds, 7.5 vs. 94.80/0.05%
  • -5,000 SFRF4 94.62/94.75 strangles, 32-31.5
  • 2,000 SFRZ3 94.56/94.68/94.81 call flys ref 94.52
  • 4,500 SFRZ3 94.50/94.56/94.62/94.68 call condors ref 94.52
  • 2,000 3QZ3 95.75/96.12/96.37/96.62 broken put condors ref 95.755
  • 2,000 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
  • Block/screen, 7,000 SFRH4 95.50/96.00 call spds, 3.25 ref 94.61
  • 3,250 SFRH4 95.00/95.50 call spds vs. 0QH4 97.00/97.50 call spds
  • 3,000 SFRV3 94.62 calls, 1.0 ref 94.525
  • 3,000 SFRZ3 94.68 calls, 4.5 ref 94.515
  • Block/screen, 5,000 SFRX3 95.06/95.31 call spds, 0.5 ref 94.52 to -.515
  • 3,000 SFRX3 95.06 calls, 1.75 ref 94.52
  • Block, 5,000 SFRX3 95.06/95.37 call spds 0.5 ref 94.52
  • 4,500 SFRZ3 94.50/94.62 call spds ref 94.52
• Treasury Options:
  • over 2,600 FVX3 105/106 call spds 14 ref 104-22
  • 2,000 FVX3 106.5/108.5 1x2 call spds ref 104-20
  • over 4,000 TYZ3 107.5 puts, 140
  • 1,500 TYZ3 109/111/113 call flys
  • 2,000 FVZ3 108 calls, 6.5 ref 104-15.25
  • 4,500 TUZ3 100.87/101.25/101.5/101.87 call condors ref 101-04.88
  • 2,600 TYZ3 104.5 puts, 41 ref 106-17
  • 2,200 FVZ3 106.25 calls, 19 ref 104-12.5
  • over 7,800 TYX3 106.75 calls, 52-53 ref 106-13 to -14
  • Decent overall TYX put volumes:
  • 26,800 TYX3 105 puts, 24 last
  • 17,700 TYX3 105.5 puts, 32 last
  • 12,000 TYX3 106 puts, 45 last
  • 38,000 TYX 106.5 puts, 60 last
  • 12,200 TYX3 108 puts ref 106-13.5
  • 6,700 TYX3 104.5 puts ref 106-14
  • over 30,000 TYX3 105.25 puts, 28-30 ref 106-16 to -13 (small tied to 105.25/106.5 2x1 put spds)