Late SOFR/Treasury Option Roundup: Turns Bullish On Rally

SOFR/Treasury option trade continued to rotate around low delta SOFR call structures and Treasury puts and put structures Monday. Flow bias turned bullish as underlying futures bounced off lows after 10Y yield topped 5% for the first time since late Sep'07, marking 5.0187% high. Projected rate hikes remained static into early 2024: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 5.7bp at 5.386%, January 2024 cumulative 9.4bp at 5.423%, while March 2024 slips to 5.3bp at 5.381%. Fed terminal at 5.438% in Jan'24. Fed terminal at 5.425% in Feb'24.

• SOFR Options:
  • -4,000 SFRH4 95.00/95.25 call spds, 2.25 vs. 94.62/0.05%
  • 2,000 0QZ3 95.06 puts, 8.5
  • +10,000 SFRZ3 94.50/94.62 2x1 put spds, 0.5-0.75
  • +5,000 SFRH4 94.50 puts, 14.5 ref 94.65
  • 2,400 SFRF4 94.75/95.25/95.75 call flys ref 94.645
  • 2,000 0QZ3 95.62/96.00/96.37 call flys
  • 2,000 0QX3 95.56/95.12 strangles ref 95.31
  • 1,000 SFRZ3 94.56/94.62/94.68 call flys ref 94.565
  • 1,500 SFRH4 94.75/95.50 call spds ref 94.66
• Treasury Options:
  • 5,000 FVX3 105 calls 8-7.5 ref 104-18.5 to -18.25
  • 1,500 USZ3 111/113/115/117 call condors ref 107-24
  • -6,600 TUZ3 100.75 puts, 6.5 ref 101-07.12
  • 3,000 TYZ3 108 calls, 21 ref 105-22.5
  • 2,000 TYX3 105 puts, 16 ref 105-19.5
  • 8,000 FVX3 104.25/104.75 1x2 call spds, 3
  • 4,000 TYX3 106 puts, 45 ref 105-14.5
  • over 4,100 TYZ3 105 puts, 60 ref 105-13
  • 7,500 TYZ3 103/104 put spds, 19 ref 105-13.5 to -14
  • 1,800 FVX3 103.5 puts, 5.5 ref 104-03.5
  • 1,100 FVZ3 105.5/107 2x3 call spds ref 104-03.5
  • 3,000 FVX3 104 puts, 16 ref 104-03.75
  • 1,000 TYX3 104/105/105.5 1x3x2 put flys ref 105-18.5