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Early SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR and Treasury options reported overnight, largely paired between call/put structures. Underlying futures a little firmer after declining the last three sessions. Projected rate cuts for the first half of 2024 gaining slightly following yesterday's stronger than expected Retail Sales dampened prospects: January 2024 cumulative -0.6bp at 5.323%, March 2024 chance of rate cut -58.2% vs. -57.2% late Wednesday w/ cumulative of -15.2bp at 5.177%, May back up to -88.6% vs. -85.6% w/ cumulative -37.3bp at 4.956%. June 2024 pricing in the first 25bp cut with cumulative -63.6bp at 4.692%. Fed terminal at 5.32% in Feb'24.

  • SOFR Options:
    • 5,000 SFRH 94.62/94.75/94.87/95.00 call condors
    • 1,200 SFRH4 94.75/94.81/94.93 2x3x1 broken put flys
    • 2,600 SFRG4 94.93/95.06/95.18 call flys ref 94.915
    • Block, 15,000 0QH4 96.87/97.37 call spds, 5.5 vs. 96.395/0.14%
    • 16,000 2QG4 96.25/96.31/96.37 put flys ref 96.655
  • Treasury Options:
    • 2,000 TYG4 109/110/111 put trees
    • 2,000 FVG4 108.25/108.75 call spds ref 107-31.25

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