Late SOFR/Treasury Options Roundup: Remain Mixed

FI option trade remained mixed on net Tuesday. SOFR saw better low delta puts as underlying futures scaled back a portion of Monday's safe haven rally, while Treasury options see better call trade carry over from overnight. Weaker rates tempered by comments from midday comments by Atlanta Fed Bostic, rate hike projections into early 2024 held steady to slightly softer vs. late Monday: November steady at 14% (22.2% Mon morning vs. 30.5% late Fri) w/ implied rate change of +3.5bp to 5.364%, December cumulative of 7.5bp (vs. 8.2bp early Tue) at 5.404%, January 2024 5.9bp (vs. 6.4bp early Tue) at 5.387%. Fed terminal at 5.405% in Jan'24.

• SOFR Options:
  • -8,500 SFRH4 94.25/94.75 put spds, 20.75
  • +1,500 SFRZ3 94.62/94.75/94.87 call flys, 1.25
  • over 5,000 SFRZ3 94.68 calls, 0.5 ref 94.58
  • +10,000 SFRM4 96.00/97.00 call spds, 9.5 vs. 94.925/0.12%
  • +4,000 SFRH4 95.00/96.00/96.50 1x1x2 call trees, 2.25cr (3 legs sold)
  • 4,000 0QZ3 95.00/95.37/95.62/96.00 put condors ref 95.50
  • 1,750 0QV3 95.25/95.37 3x2 put spds ref 95.50
  • 3,000 0QV3 95.25 puts, 0.5 ref 95.50
  • 5,500 2QV3 95.93 puts, 4.5-5.0 last ref 96.02 to -.015
  • 2,500 SFRZ3 94.56/94.62/94.68 call flys, ref 94.575
  • 1,500 0QV3 95.87 calls, 1.5 ref 95.50
• Treasury Options:
  • +7,500 FVX3 106.5 calls, 12 ref 105-11, total volume>23.2k
    
  • +10,000 TYX3 110/111 call spds, 11 vs. 107-22 to -22.5/0.11
  • 3,250 TYX3 106/107.5 2x1 put spds, 15 net ref 107-29.5
  • 2,000 TYX3 108 calls, 37 ref 107-15
  • 3,000 TYX3 108.5/109/109.5/110 call condors, 0.0 ref 107-22
  • over 5,400 TYZ3 110.5 calls 29 last
  • over 4,300 TYZ3 110 calls 35-31, 31 last ref 107-23.5
  • over 7,100 FVX3 106 calls, 18-24, 18 last ref 105-11.25
  • 2,000 TYX3 107.75 puts, 50 ref 107-21