Late SOFR/Treasury Option Roundup: Leaning Bullish

SOFR and Treasury options generated robust volumes Thursday, mixed trade generally bullish with upside call buying and put unwinds as underlying futures added to Wednesday's post-FOMC rally as projected rate hikes into early 2024 continue to recede: December cumulative of 4.8bp at 5.373%, January 2024 cumulative 7.3bp at 5.398%, while March 2024 starts pricing in a cut (18.9%) with cumulative at 2.6bp at 5.350%. Fed terminal at 5.40% in Feb'24.

• SOFR Options
  • over 18,500 SFRZ3 94.75 calls, 2.5 ref 94.585
  • over 14,000 0QZ3 94.87/95.25/95.50 put flys ref 95.555
  • 8,000 SFRH4 94.31/94.43 put spds vs. SFRH4 94.62/94.75 call spds
  • -20,000 SFRH4 94.37/94.50 put spds vs. SFRH4 94.75/94.87 call spds
  • 6,000 0QH4 96.25/96.50 call spds vs. 0QH4 95.00/95.25 put spds
  • 3,000 0QZ3 95.12/95.37 3x2 put spds
  • Block, +11,000 SFRM4 94.75/94.87 call spds vs. SFRM4 94.37/94.50 put spds, 1.5 net/call spd over ref 94.94
  • Another 7,000 of the above block on the screen ref 94.91
  • 16,000 SFRM4 94.75/94.50 call spds vs. 94.31 puts ref 94.92
  • 2,000 SFRM4 94.50/94.62/94.75 call flys, ref 94.91
• Treasury Options
  • over 8,000 USZ3 105/109 put spds, 35-30 ref 112-12 to -06
  • 3,500 FVZ3 105.5/106.5 1x2 call spds ref 105-06.5
  • 1,600 TYZ3 105/105.5/106.5 broken put flys, 13 ref 107-17
  • over 12,600 TYZ3 111 calls, ref 107-23 to -24.5
  • 7,500 FVZ3 103.75/104.25 put spds, 5.5 ref 105-08
  • over 7,700 TYZ3 107.75 calls, 49 ref 107-19
  • over 8,400 TYZ3 106.5 puts, 25-24 ref 107-19 to -21
  • 4,700 TUZ3 102.12 calls, 4 ref 101-15.38
  • 5,000 TYZ3 105.5 puts, 11 ref 107-21.5
  • 14,000 weekly 10Y 17/108.5 strangles, 21
  • over 5,000 FVZ3 106 calls, 19.5 last
  • over 10,000 TYZ3 110 calls, 9 ref 107-25
  • 1,500 USZ3 112/114 call spds, 58
  • 2,500 TYZ3 105/105.5 put spds
  • 2,000 FVZ3 104.75 puts, 21.5 ref 105-06.5
  • over 41,500 TYZ3 104 puts, 4 ref 107-10.5 to -15
  • 6,500 wk2 10Y 108.25/108.75 call spds, 7 ref 107-12.5
  • +10,000 TYZ3 103/104/105 put flys, 3
  • 4,500 TYZ3 108/109.5 1x3 call spds vs. 103/104.5 3x2 put spds, o
  • over 9,000 TYZ3 105 puts, 10
  • 4,000 TYZ3 103 puts, 2 ref 107-08
  • over 10,000 TYZ3 106/107 put spds vs. TYZ3 108.5 calls
  • 1,800 TYZ3 105.75/107 put spds, ref 107-10.5