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Early SOFR/Treasury Option Roundup

US TSYS

Option volumes remain limited around the holidays. Underlying futures mostly firmer, short end lagging as projected rate cuts for early 2024 holding steady to mildly softer vs. Friday's late lvls: January 2024 cumulative -3.5bp at 5.293%, March 2024 chance of rate cut -84.3% vs. -90.1% late Friday w/ cumulative of -24.6bp at 5.082%, May 2024 pricing in a full 25bp cut with cumulative -50.3bp at 4.824%, June'24 cumulative -76.7bp at 4.560%. Fed terminal at 5.325% in Jan'24.

  • SOFR Options:
    • -15,000 SFRM4 94.75/94.87 call spds, 10.25
    • +2,000 SFRH4 94.50/94.62/94.75 put flys, 1.5 ref 95.00
    • 4,000 SFRH4 94.81/95.25 strangles ref 94.995 to 95.00
    • 1,500 SFRM4 96.25/97.00 2x3 call spds ref 95.475
  • Treasury Options:
    • 5,700 5Y Weds wkly 108.5 puts, 1 ref 108-22.5
    • 3,300 FVG4 109/109.75 2x3 call spds ref 108-22.25

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