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Early SOFR/Treasury Option Roundup

US TSYS

Sep'24 SOFR ratio call spread sale reported after the bell, underlying futures weaker, extending lows as projected rate hikes in early 2024 moderate slightly: January 2024 cumulative -4bp at 5.288%, March 2024 chance of rate cut -79.5% vs. -85.3% late Thursday w/ cumulative of -24.3bp at 5.084%, May 2024 still pricing in a full 25bp cut with cumulative -49.8bp at 4.829%, June'24 cumulative -74.8bp at 4.579%. Fed terminal at 5.33% in Jan'24.

  • SOFR Options:
    • -2,000 SFRU4 97.00/98.25 2x3 call spds 15.5 vs. 95.875/0.20%
  • Treasury Options overnight:
    • 1,100 WNG4 130 puts, 101 ref 133-06/0.28%
    • 1,000 TYG4/TYH4 108.5/110.5 put spd spd vs. 115.5/117.5 call spd spd
    • 10,000 FVG4 108 puts, 19.5 ref 108-24.5/0.31%

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