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Early SOFR/Treasury Option Roundup

US TSYS

Mixed trade on modest overnight volumes, underlying futures scaling back a small portion of Wednesday's rally that saw 10Y yields fall to 5 month low of 3.7815%. Recent interest in March'24 SOFR put tree and Feb'24 10Y ratio put spreads. Projected rate cuts for early 2024 near steady to late Wednesday levels: January 2024 cumulative -4bp at 5.288%, March 2024 chance of rate cut -84.3% vs. -83.9% Wed w/ cumulative of -25.1bp at 5.077%, May 2024 pricing in a full 25bp cut with cumulative -51.3bp at 4.814%, June'24 cumulative -77.3bp at 4.555%. Fed terminal at 5.325% in Jan'24.

  • SOFR Options:
    • 2,000 SFRH4 94.50/94.75/95.25/95.50 call condors ref 95.005
    • 4,000 SFRH4 94.62/94.68/94.75 put trees ref 95.47
    • 1,000 SFRM4 95.50/96.00 2x1 put spds ref 95.47
  • Treasury Options:
    • 3,000 TYG4 112/112.75 5x3 put spds, 6 net ref 113-04.5
    • 4,300 TYG4 114 calls, 37 ref 113-04.5
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