Late SOFR/Treasury Option Roundup: Mixed, Projected Rate Hike Cools

Mixed SOFR/Treasury option flow remained mixed even as underlying futures reversed early losses/finishing higher after mixed data. Projected rate hikes into early 2024 have cooled: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 5bp at 5.379%, January 2024 cumulative 7.4bp at 5.403%, March 2024 at 3.3bp at 5.361%. Fed terminal slips to 5.405% in Feb'24. Reminder, Nov serial Tsy options also expire Friday.

• SOFR Options:
  • Block, 5,000 SFRM4 95.50/96.25 call spds 9.5 vs. 94.855/0.12%
  • Block, 2,500 SFRH4 94.25/94.37 put spds vs. SFRH4 94.62/94.75 call spds ref 94.63, appr 7.5k more on screen
  • 9,000 SFRZ3 94.31/94.37/94.43/94.50 put condors ref 94.55
  • over 4,000 SFRH4 94.12/94.37 put spds vs. SFRH4 94.62/94.87 call spds ref 94.63
  • 2,000 0QZ3 95.50/95.87/96.25 call flys ref 95.31
  • 2,000 SFRX3 94.75/95.00 call spds ref 94.56
  • 2,800 0QZ3 95.37/95.62/96.00 broken call trees ref 95.31
  • Block, 10,000 SFRM4 94.50/94.81 put spds vs. 95.50 calls, 3.5 net call over
  • Block, 5,000 SFRM4 94.50/94.81 put spds vs. 95.50 calls, 4.0 net call over
  • 2,000 SFRU4 95.50/96.50/97.00 broken call flys ref 95.075
• Treasury Options: Reminder, Nov serial options expire Friday
  • 2,500 TYZ3 104/107.5 strangles, 52 ref 106-03.5
  • +4,000 TYZ3 99.5/103/104.5/105.5 put condors 5 over the TYZ3 108.5/110 call spds
  • 9,000 FVX3 FVX3 103.5/103.75 2x1 put spds
  • over 8,500 TYX3 106.5 calls, 3 ref 105-16 to -21
  • 2,000 TYZ3 109.5/110.5 call spds
  • 5,000 TYZ3 105/106 2x3 put spds ref 105-19 to -18.5
  • 3,000 USZ3 99/100 put spds ref 107-31
  • 2,000 FVZ3 101.5/102 put spds ref 104=02.75
  • Note on Wed's 50,000 TYZ3 107.5 puts open interest +39,936 to 94,166