Late SOFR/Treasury Option Roundup: Nov Tsy Ops Expiring

SOFR/Treasury option flow remained mixed Friday, early focus on unwinding/rolling November serial Tsy options ahead today's expiration (Nov SOFR options expire in 2 weeks). Underlying futures off lows, trading mildly higher in the short end to intermediates. As such, projected rate hikes into early 2024 inch lower: November at 0% to 5.325%, December cumulative of 4.3bp at 5.372%, January 2024 cumulative 6.9bp at 5.398%, March 2024 at 2.8bp at 5.356%. Fed terminal at 5.40% in Feb'24.

• SOFR Options:
  • Block, 9,000 SFRZ3 95.87/96.25/96.50 broken call flys, 0.0 (all legs appear to be crossed at 0.75) ref 94.585
  • Block, 5,000 SFRZ3 94.12/94.37 put spds, 0.5 ref 94.585
  • +15,000 SFRM 94.75/94.87 call spds from 0.25-0.5 over the SFRM4 94.37/94.50 put spds
  • Block, 8,000 SFRH4 93.75/94.25 2x1 put spds, 2.0 ref 94.665
  • 2,000 SFRZ3 94.43/94.56 put spds, 3.5 ref 94.58
  • +5,000 0QX3/0QZ3 95.75 call spds, 9.0 net (Dec over) vs. 95.395/0.12
  • +2,000 2QZ3 96.00/96.37 call spds, 9.5 vs. 95.84/0.24%
  • +2,000 SFRH4 96.00 calls, 9.0 vs. 94.695/0.14%
  • Block 6,000 SFRF4 94.31 puts, 2.75 ref 94.67
  • 2,000 SFRH4 94.18/94.56/94.75 broken put flys ref 94.66 to -.665
  • 2,000 0QZ3 94.75/94.93/95.12 put trees ref 95.39
• Treasury Options: Reminder, Nov serial options expire today
  • +22,000 TYZ3 107.5 calls, 33 ref 106-10.5
  • over 39,500 TYX3 107.5 puts 111-112 ref 106-10 to -09.5
  • +5,000 USZ3 102/106 put spds 40 ref 109-13
  • 2,000 TYZ3 104/104.5/105.5 broken put flys ref 106-09
  • -3,500 TYZ3 106.5 puts, 100 ref 106-12.5
  • over 12,800 Wednesday weekly 10Y 107 calls, 11-13 ref 106-04 to -08
  • 1,650 FVZ3 105.75/107.25 call spds
  • over 5,200 TYZ3 106 puts, 58 last
  • over 5,700 TYX 106.5 calls, 4 last
  • over 6,200 TYX3 106 puts, 4 last
  • over 5,000 TYX3 106.25 puts, 9 last