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Early SOFR/Treasury Option Roundup

US TSYS

Near evenly paired option trade overnight, larger Apr'24 SOFR put condor a standout. Treasury options rather muted. Underlying futures bid, back near Monday's closing levels after Tuesday's sell-off. Projected rate cuts for early 2024 gains some traction: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -50.4% vs. -36.0 early Tuesday w/ cumulative of -13.2bp at 5.197%, May 2024 at 80.2% (72.6% early Tue) cumulative -33.3bp at 4.996%. June 2024 99.2% (93% early Tue) cumulative -58.1bp at 4.748%. Fed terminal at 5.325% in Feb'24.

  • SOFR Options:
    • 11,000 SFRJ4 95.31/95.37/95.56/95.62 put condors
    • 1,500 SFRH4 94.87/95.12 1x4 call spds ref 94.87
    • 1,600 SFRZ4 96.50/97.12 call spds ref 96.03
    • 4,500 SFRH4 94.81/94.93 2x1 put spds ref 94.875
    • 1,500 SFRH4 94.68/94.81/94.93 put flys ref 94.87
    • over 5,400 SFRJ4 95.50 calls ref 95.305
    • 1,750 3QH4 96.75 calls ref 96.545
  • Treasury Options:
    • 5,000 TYG4 111 puts, 6 last
    • 6,300 TYG4 112 calls, 5 last
    • 4,000 TYG4 111.5 calls, 14
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