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Late SOFR/Treasury Option Roundup: Puts Reemerge

US TSYS

SOFR and Treasury option trade segued from better call volume overnight to mixed on net as put buyers and repositioners emerged in the second half. Curves extended flatter with short end rates lagging. Projected rate cut chance into early 2024 cooled: December holds at 2.4bp at 5.347%, January 2024 cumulative 4.4bp at 5.373%, while March 2024 pricing in -22.3% (-26.1% this morning) chance of a rate cut with cumulative at -1.2bp at 5.317%, May 2024 cumulative -12.5bp at 5.204%. Fed terminal at 5.375% in Feb'24.

  • SOFR Options:
    • Block, 10,000 SFRH4 94.56 puts, 9.5 vs. 94.725/0.15%
    • -4,000 SFRF4 94.62/94.75 strangles, 20.0
    • +10,000 SFRH4 94.75/94.87 call spds, 2.75
    • +4,000 0QZ3 95.50/95.75/96.00 call flys, 4.0 vs. 95.60/0.05%
    • 2,500 0QZ3 95.43/95.75/96.12 call flys ref 95.56
    • 2,000 0QZ3 95.00/95.25/95.50 put flys ref 95.55
    • over 5,000 SFRH4 95.75 calls ref 94.725
    • 1,200 SFRH4 94.75/95.75/97.00 broken call flys ref 94.725
    • 1,000 SFRH4 94.75/95.00/95.25/95.50 call condors
  • Treasury Options:
    • over -43,000 wkly/Wed 10Y 110 puts 135-138
    • over +46,000 wk2 10Y 110 puts, 137-141
    • -5,000 wkly/Wed TU 102.12 puts, 40.5-41
    • +5,000 wk2 TU 101.87 puts, 26
    • -9,000 TYZ3 106/107 put spds, 8
    • +6,000 FVZ3 104 puts, 3
    • 5,000 wk2 TY 108.25/108.75 call spds, 5 ref 108-04
    • 10,000 TYH4 108/111/114 call flys ref 108-10.5
    • 2,000 FVZ3 102 puts, .5 ref 105-14
    • 1,600 TYZ3 108.5/109.5/110 broken call flys ref 107-31
    • 1,800 FVZ3 106/107/107.5 broken call flys, ref 105-13
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