Late SOFR/Treasury Option Roundup: Large 10Y Put Volume

Mixed SOFR/Treasury option flow remained mixed Wednesday amid larger volumes and anomalous trades (consider appr 50k each TYX3 107.5 and weekly 10Y 108.5 puts - a potential unwind for a active fund manager in the headlines this week). Reminder, Nov serial Tsy options also expire Friday. Underlying futures weaker, near late session lows with 10Y yield tapping 4.9570% high. Projected rate hikes into early 2024 off morning highs: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 6.8bp at 5.397%, January 2024 cumulative 9.9bp at 5.427%, March 2024 at 6.7bp at 5.396%. Fed terminal at 5.430% in Feb'24.

• SOFR Options:
  • Block, total +18,000 SFRH4 94.75/95.00 call spds, 3.25 ref 94.63 to -.62
  • +4,000 0QX3 95.12/95.25 put spds, 4.0 ref 95.345
  • +11,800 SFRU4 96.25/97.25 call spds 12.0 ref 95.10
  • +4,000 0QZ3 95.25/95.50/95.75 call flys, 3.5 ref 95.335
  • Block, 4,000 0QZ3 95.62/96.00/96.37 call flys, 3.5 vs. 95.365/0.07%
  • 2,600 SFRM4 94.37/94.50 put spds vs. 94.75/94.87 call spds
• Treasury Options: (Reminder, Nov serial Tsy options expire Friday)
  • 50,000 TYX3 107.5 puts, 153 ref 105-22.5 and
  • over 47,000 10Y weekly 108.5 puts, 251
  • 3,000 TYZ3 106 puts, 103 ref 105-30
  • 3,000 USX3 107 puts, 10 ref 108-29
  • 4,000 TYX3 107.25 calls, 3 ref 106-00.5
  • 2,750 TYZ3 104.5/106 2x1 put spds, 10 ref 106-00.5
  • 2,500 TYX3 105 puts, 1 ref 106-03, total volume over 8,200
  • over 23,000 TYZ3 112 calls, 3 ref 106-02.5 to -03.5
  • 2,000 USZ3 113/115/117/119 call condors
  • 10,000 TYX3 105.5/105.75 put spds