Late SOFR/Treasury Option Roundup: Large Put Volume

SOFR/Treasury options focused on low delta puts and put structures early Tuesday, volumes fading in the second half as underlying futures pared losses/finished mixed. Projected rate hikes static into early 2024: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 6.4bp at 5.393%, January 2024 cumulative 9.4bp at 5.423%, March 2024 at 5.3bp at 5.381%. Fed terminal at 5.425% in Feb'24.

• SOFR Options:
  • -4,000 SFRH4 93.75/94.25/94.75 put fly w/ 94.00/94.50/95.00 put fly, 46.0 total on double sale
  • 13,500 SFRM4 96.00/96.12 call spds ref 94.86
  • +43,000 0QZ3 94.93/95.12/95.25/95.37 put condors, 2.0 ref 95.405 to -.40
  • +15,000 0QZ3 94.87/95.12/95.25/95.37 put condors, 0.5 ref 95.41 to -.37
  • 6,500 SFRZ3/SFRJ4 94.50 put spds
  • 2,000 SFRH4 94.25/94.43 2x1 put spds ref 94.645
  • 4,000 SFRZ3 94.68/94.87 call spds ref 94.565
  • 3,000 0QZ3 95.50/95.87/96.25 call flys ref 95.435 to -.405
• Treasury Options:
  • 2,500 TUZ3 101.5/102 1x2 call spds ref 101-06.5
  • 3,000 USX3 107/109 2x1 put spds
  • +45,000 TYX3 105.5 puts, 7 ref 106-09.5 to -10. Open interest only 30,168 coming into the session
  • over 9,900 TYX3 106.5 puts, 25 last ref 106-12.5
  • 3,000 TYZ 108 calls, 27 last ref 106-14
  • 1,000 TYX3 105.5/106 3x2 put spds ref 106-17.5
  • 1,000 TYX3 105.25/105.75 put spds, 3 ref 106-17.5
  • 1,200 FVZ3 103.5 puts ref 104-22.5
  • 4,750 TYX3 105.5/106 put spds, 7 ref 106-11 to -10.5