Option Summary: Hedging Higher Rate in 2023

Continued better put structure trade in 10Y Tsy options, taking advantage of the rebound (or fading it) to buy downside puts at cheaper levels. Massive 10Y put condor buy sums things up nicely:

• Just over +100,000 TYH3 110.5/111.5/112.5/113.5 put condors 11 vs. 113-31.5 to 114-01.5/0.05%, misc trades in individual strikes pushing volumes slightly higher. Current 10YY at 3.5552% w/ TYH3 futures trading 114-00, a rise in yields to put the structure in-the-money is within the realm of possibility given 10YY topped 4.2% in early November.
• To see TYH3 futures trade down/between 112.5 - 111.5, 10YY would need to climb to appr 3.786% to 3.940% for the condor to go in-the-money. March Tsy options expire on Feb 24, well after the first FOMC for 2023 on Feb 1.
• Treasury Options:
  • 30,000 wk3 TY 115 calls, 24 ref 114-02
  • 100,000 TYH3 110.5/111.5/112.5/113.5 put condors 11 vs. 113-31.5/0.05%
  • -2,500 FVG 111/112 4x5 call spds, 21.5-22.5 ref 108-28.25
  • Update, +20,000 TYF 110/111 put spds, 3
  • 7,500 TYG 108.5/109.5/1111broken put flys, ref 114-05
  • 1,500 TYF 112.5/113.5 put spds vs. 115.25 calls, ref 114-00.5
  • 3,000 wk2 FV 108 puts, 3.5