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Late SOFR/Treasury Option Roundup: Mixed to Mildly Bullish

US TSYS

SOFR and Treasury option focus migrated from better put structure interest in early trade to mixed by midday, put unwinds and upside call structures reported below. Underlying futures, meanwhile, held mildly lower in the short end, curves flatter. Projected rate cut chance into early 2024 holds near late Thursday lows: December at 2.4bp at 5.352%, January 2024 cumulative 5.9bp at 5.387%, while March 2024 pricing in -16.5% chance of a rate cut with cumulative at 1.8bp at 5.346%, May 2024 cumulative -6.9bp at 5.260%. Fed terminal at 5.385% in Feb'24.

  • SOFR Options:
    • 17,000 SFRJ4 94.37/94.62/95.37/95.87 call condors, 11.0 ref 94.87
    • 5,500 SFRH4 94.68/94.75/94.81/94.87 call condors ref 94.67 to 94.675
    • 2,000 0QZ3 95.25/95.50/95.75 call flys, 5.0 ref 95.445
    • Block, 5,000 SFRU4 95.00/95.50/96.00 call flys, 5.5 ref 95.20
    • +5,000 SFRH4 94.75/95.00/95.25 call flys, 1.5
    • -5,000 SFRU4 93.50 puts 0.5 over SFRU4 95.25/95.50/95.75/96.00 call condors ref 95.21
    • 3,850 SFRG4 94.25/94.37/94.50 put flys ref 94.675
    • 1,500 0QZ3 95.25/95.37/95.50/95.62 put condors ref 95.45
    • over 9,000 2QZ3 95.81 puts, 7.5-8.0 ref 96.04 to -.05
    • Block, 5,000 0QZ3 95.5 puts, 20.0 ref 95.45, more on screen
  • Treasury Options: (reminder, wk2 midcurves expire today)
    • -10,000 wk2 FV 105 puts, 1
    • -7,500 TYF4 106.5 puts, 32
    • +4,500 FVH4 107.75/FVG4 107.5 call diagonal spread, 6 net/March over
    • 1,500 TYH4 108/111/114 call flys, 32 ref 108-02.5
    • +2,000 TYF4 108 straddles, 215
    • over -15,500 TYH4 108.5 calls, 130-134 last ref 108-03.5
    • 2,600 weekly 10Y 108.75/109.25/109.5 call trees
    • 3,000 wk2 US 113.5 calls, 7
    • 1,600 TYZ3 108.5/109.5 call spds, 12 ref 107-18.5
    • 3,200 TYZ3 107.25 puts, 29 ref 107-19.5
    • 1,600 TYZ3 109.5/110 call spds ref 107-13
    • over 10,200 TYZ 107 puts, 28 last
    • over 6,000 TYZ 106.25 puts, 12 last
    • over -9,100 wk2 TY 110 puts, 240 last, taking profits after +45k Wed from 137-141

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