Late SOFR/Treasury Option Roundup: Tsy Put Focus Continue

SOFR and Treasury Option flow remained mixed Thursday after better upside call trade since Tuesday's CPI induced rally (yesterday's partial unwind in the underlying notwithstanding). Early pickup in put structure buying, particularly in Dec'23 SOFR midcurves and Tsy 10Y options had scaled back by the second half as underlying futures held near session highs. Projected rate cut chance in early 2024 is on the rise again after consolidating Wednesday: December at 0bp at 5.333%, January 2024 cumulative -1bp at 5.323%, March 2024 pricing in -33.9% chance of a .25 rate cut ( -28.1% this morning) with cumulative of -9bp at 5.243%, May 2024 pricing in -49.7% chance of a rate cut (-47.4% this morning) with cumulative of -21.4bp at 5.119%. Fed terminal at 5.33%-5.335% in Dec'23 to Feb'24.

• SOFR Options:
  • Block, 2,500 SFRJ4 95.00/95.50 2x3 call spds, 14.5 ref 95.02
  • +5,000 SFRH4 94.68/94.93/95.18/95.43 call condors, 4.75 vs. 94.765/0.15%
  • Block, 6,085 SFRM4 95.50/96.00 call spds 8.5 ref 95.08
  • Block, 6,000 0QJ4 96.25/96.50 call spds 2.0 over 2QJ4 96.62/96.87 call spd
  • 3,700 SFRU4 96.50/97.50 2x3 call spds ref 95.325
  • 3,000 SFRG4 93.75/93.87/94.00/94.12 broken put condors ref 94.76
  • 20,000 0QZ3 94.87/95.25/95.50 broken put flys - adds to 20k Block
  • 1,500 0QF4 96.25/96.75 1x2 call spds vs. 1,000 0QF4 95.25 puts ref 95.865
  • 7,000 2QZ3 97.00 calls, 0.5 ref 96.185
  • 2,500 SFRU4 96.50/98.00 call spds ref 95.315
  • Block, total 20,000 0QZ3 94.87/95.25/95.50 broken put flys ref 95.61
• Treasury Options:
  • 5,000 TYZ3 108.5/109.25 strangles 33-34
  • 12,000 FVZ3 106 puts, 19 ref 105-31
  • +10,000 Wed/wkly 107.5/108/108.5 put trees, 7 ref 108-20/0.07%
  • +10,000 TYZ3 107 puts, 3 ref 108-21.5
  • 4,000 TYZ 109/109.5 call spds vs. wk3 TY 108.75/109.25 call spds, 1 net/wk3 over
  • over 7,000 TYF4 107.5 puts vs. TYF4 109.5/111 call spds
  • 3,000 TYZ3 107/107.5 2x1 put spds, 1 ref
  • 13,000 TYZ3 109.5/110.5 call spds, 5-6 ref 108-17
  • 2,600 TYZ3 106/107 put spds, ref 108-15.5