Late SOFR/Treasury Option Roundup: Puts On Net

Focus on low delta SOFR and Treasury overnight put structures continued through the NY session. Moderate volumes on the shortened Thanksgiving holiday week (full session Wednesday, Thursday close, Friday early close). Underlying futures steady to mildly weaker in the short end at the moment. Projected rate cut in early 2024 consolidates: December at 0bp at 5.333%, January 2024 cumulative .5bp at 5.343%, March 2024 pricing in -29.9% chance of a rate cut with cumulative at -7.5bp at 5.263%, May 2024 pricing in -41.5% chance of a rate cut with cumulative -17.8bp at 5.159%. Fed terminal at 5.34% in Feb'24.

• SOFR Options:
  • +5,000 SFRF4 94..56/94.68/94.81/94.93 call condors, 8.0
  • Over +17,000 SFRJ4 94.43/94.50/94.68 broken put trees 1.0-1.25
  • Block, 4,000 2QZ3 96.25/96.50/96.62 broken put fly vs. 96.175/0.15%
  • 1,500 0QZ3 94.87/95.12/95.25/95.37 put condors ref 95.575
  • 2,000 0QH4 95.00/95.25 put spds vs. 0QH4 96.25/96.50 call spds
• Treasury Options:
  • -5,000 USF4 117/118/119/120 call condors, 9
  • -5,000 wk1 US 117/119 call spds 28-29
  • 2,500 Weds/wkly 10Y 107.5/108/108.5 put trees ref 108-17
  • -6,000 FVZ3 105.75/106/106.25/106.5 call condors, 4 ref 105-23.25
  • 2,600 TYZ3 108.25 puts, 15 ref 108-17.5
  • 1,000 TYZ4 106.5 puts, ref 108-14.5
  • 2,000 TYZ3 109.25/109.75 call spds, 7 ref 108-17