SOFR/Treasury Option Roundup: Heavy Volumes

Heavy SOFR/Treasury option volumes with underlying futures selling off in the aftermath of hawkish hold policy annc's from the FOMC and BoE. Rate hike projections into early 2024 inch higher: November at 31.0% w/ implied rate change of +7.8bp to 5.405%, December cumulative of 13.4bp at 5.462%, January 2024 14.5bp at 5.472%. Fed terminal at 5.47% in Feb'24. Salient flow since the BoE annc:

• SOFR Options:
  • -10,000 0QV3 95.18/95.25 put spds, 3.0
  • 4,500 SFRM4 94.50/95.00 2x1 put spds ref 94.73
  • Block, 6,000 0QZ3 95.00/95.25/95.50 put trees, 2.0 ref 95.29
  • Block, 2,500 SFRF4 94.75/95.25/95.75 call flys, 3.5 ref 94.59
  • 4,500 SFRF4 94.25/94.37 put spds
  • 2,000 SFRM4 94.75/94.50/96.25 call flys
  • 4,000 0QZ3 95.50/96.50 call spds vs. 3QZ3 96.25/97.25 call spds
  • 4,500 SFRF4 94.25/94.37 putr spds
  • 5,300 SFRZ3 94.56/94.62/94.68 call flys
• Treasury Options:
  • 10,000 TYX3 108 puts, 44 ref 108-16.5, prior trades puts volume >33k
  • 2,000 TUV3 101.5 calls ref 101-06.5
  • 4,000 TYX3 109.5 calls, 31 ref 108-14.5
  • over 8,500 TYV3 108.5 puts, 10-14
  • 3,000 TYZ3 103/105/107 put flys, 20 ref 108-22
  • over 4,000 FVX3 105/105.5 put spds ref 105-09.25
  • 1,000 FVZ3 106.25/107.25/108.25/109.25 call condors ref 105-11.75
  • 4,500 TYX3 109/110 call spds ref 108-22.5