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Early SOFR/Treasury Option Roundup

US TSYS

Moderate SOFR option volumes overnight is largely call structure/rate cut positioning, Treasury options rather limited so far. Underlying futures firmer, off overnight highs ahead another quiet data session, markets focus on Thursday/Friday's CPI/PPI. Projected rate cuts for early 2024 gaining slightly: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -64.0% vs. -62.0% late Tuesday w/ cumulative of -17.1bp at 5.158%, May 2024 chance of cut 90.9% vs. 86.8% late Tuesday, cumulative -39.8bp at 4.930%. Fed terminal at 5.3275% in Jan'24.

  • SOFR Options: Reminder, January options expire Friday.
    • Block, 2,500 SFRH4 94.68/94.81/94.87/94.93 put condors, .25 ref 94.915
    • 2,500 SFRH4 95.00/95.12/95.37 call trees
    • 4,650 SFRF4 94.93/95.00/95.06 call trees
    • 8,000 SFRU4 96.62/97.12/97.37 call flys ref 95.76
    • 8,000 SFRU4 95.87/96.00 call spds vs. SFRU4 95.06/95.18 put spds ref 95.76
    • 5,000 SFRU4 95.68/95.81 call spds vs. SFRU4 95.06/95.18 put spds ref 95.76
    • 6,000 SFRK4 95.50/95.75/95.87 broken call flys vs. SFRK4 94.87/95.00 put spds ref 95.36
    • Block/screen 7,000 0QH4 96.50/97.00/97.50 call flys ref 96.36 vs. 0QH4 95.75/96.00, 4.0 net/fly over
    • 4,000 SFRG4 95.06/95.25 call spds vs. 0QH4 96.56/96.68 call spds
    • 9,000 SFRJ4 95.50/95.87/96.00 broken call flys ref 95.355
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