Early SOFR/Treasury Option Roundup

Mixed SOFR and Tsy option flow overnight, modest volumes. Continued repositioning with underlying weaker ahead another raft of Fed speakers after Fed rhetoric cooled slightly yesterday. Projected rate cut pricing largely steady vs. late Tuesday lvls: March 2024 chance of 25bp rate cut currently -20.3% w/ cumulative of -5.1bp at 5.270%, May 2024 at -61.2% w/ cumulative -20.4bp at 5.118%, while June 2024 -90% (105% pre-NFP for comparison) w/ cumulative -42.9bp at 4.892%. Fed terminal at 5.3225% in Feb'24.

• SOFR Options:
  • 2,000 SFRM4 94.87/95.00/95.12 put flys, ref 95.17
  • 2,500 SFRZ4 95.25/95.50 put spds vs. 96.12/96.43 call spds ref 95.905
  • 1,700 SFRJ4/SFRM4 94.75/95.00 put spd spd
  • 4,000 SFRH4 94.87/94.93/95.00/95.06 call condors, ref 94.79
  • 2,000 SFRJ4/SFRM4 94.87 put calendar spds ref 95.18
  • Block, 2,500 SFRJ4 95.06/95.18/96.25 broken call trees, 2.25 net/2-legs over
  • 9,000 SFRH4 94.87/94.93/95.00 call flys ref 94.79
• Treasury Options:
  • 2,500 TYH4 110/111 put spds, 25 ref 111-01.5
  • 2,600 FVJ4 105.5/106.5 puty spds ref 108-01.5
  • 1,000 TYH4 109/110 3x2 put spds, 18 ref 111-05.5
  • 3,000 TYH4 109.5/110.5 3x2 put spds ref 111-08.5 (2k more on 1x1 basis)