Late SOFR/Treasury Option Roundup: Remain Mixed, Underlying Near Lows

SOFR/Treasury option trade remained paired between calls and puts Tuesday. Decent volumes as underlying futures reversed early gains - near new lows for the month overnight (TYZ3 108-00.5), 10Y yield near new 16Y high of 4.5622% at 4.5519% at the moment. Rate hike projections into early 2024 largely static: November at 20.7% w/ implied rate change of +5.2bp to 5.379%, December cumulative of 10.7bp at 5.435%, January 2024 12bp at 5.448%. Fed terminal at 5.445% in Feb'24.

• SOFR Options:
  • 1,000 0QZ3 94.75/95.00/95.25 2x3x1 put
  • Block, 13,888 SFRH4 94.37/94.50 2x1 put spds, 9.0 vs. 94.62/0.26%
  • 12,100 SFRZ3 94.50/95.00 box, 49.5 ref 94.535
  • -20,000 SFRV3 94.31/94.43/94.50/94.62 put condors, 7.5
  • 2,000 SFRH4 94.75/94.87/95.00/95.12 call condors ref 94.62
  • 2,000 SFRH4 97.25/97.37 put spds ref 94.62
  • 4,000 SFRZ3 94.56/94.62/94.68 call flys
  • 4,500 SFRH4 97.25/97.50 put spds ref 94.62
  • Block, 3,000 0QZ3 95.50/95.68/95.81 call flys, 3.0 vs. 95.37/0.10%
  • over 2,600 0QM4 97.00 calls ref 95.855
  • 1,250 0QZ3 95.00/95.50 put spd vs. 2QZ3 95.50/96.00 put spds
  • Block, 3,000 SFRH4 94.00/94.25 put spds, 2.5 vs. 94.605/0.10%
  • Blocks, total 6,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 1 ref 94.62
  • 10,000 SFRF4 94.12/94.37 put spds, 3.0 ref 94.615 to -.62
  • 2,500 SFRM4 95.00/96.00/97.00 call flys ref 94.775
• Treasury Options:
  • over 19,000 TYX3 110 calls, 18
  • over 8,000 TYX3 110.5 calls, 12 ref 108-02
  • +17,500 TYX3 106.5/107/108 broken put trees, 1 net/1-leg over
  • over 12,400 TYX3 107.5 puts, 37 ref 108-10.5
  • over 12,200 TYX3 111 calls, 9 ref 108-10.5
  • +10,000 TYX3 106 puts, 13
  • over +10,100 FVX3 108 calls, 3.0 ref 105-12.25
  • 2,500 wk5 TY 109.75/110.75 1x2 call spds ref 108-12.5
  • over 4,800 TYZ3 112 calls, 15 ref 108-12
  • 2,000 wk2 TY 109.25/110/110.5 broken call flys ref 108-08.5
  • 1,250 TYX3 107/107.5/108.5 broken put flys, 58 ref 108-06.5
  • over 11,000 10Y weekly 107.5 puts, 4 ref 108-02
  • 6,000 TYX3 107/108 2x1 put spds, 12 ref 108-02 to -03
  • 2,400 TYZ3 106.5/107 put spds ref 108-01.5