Early SOFR/Treasury Option Roundup

Carry-over SOFR and Tsy option interest in low delta put structures amid other otherwise mixed overnight trade ahead of CPI revisions from BLS after 0830ET. Underlying futures continued to extend lows: TYH4 at 110-19.5 (-4.5) - putting it back to Dec 13 levels, 10Y yield marking 4.1812% high.

• Projected rate cut pricing consolidates: March 2024 chance of 25bp rate cut currently -18.3% vs. -21.2% late Thursday w/ cumulative of -4.6bp at 5.280%, May 2024 at -53.0% w/ cumulative -17.8bp at 5.148%, while June 2024 slips to -83.9% vs. -89.3% (105% pre-NFP for comparison) w/ cumulative -38.8bp at 4.938%. Fed terminal at 5.325% in Feb'24.
• SOFR Options:
  • over 7,400 3QH4 96.12 puts ref 96.425
  • Block, 1,250 SFRJ4 94.75/94.87 3x2 put spds 2.5
  • 8,600 SFRJ4 95.00/95.12 call spds ref 95.12
  • Block, 2,750 SFRM4 95.12/95.25 call spds 4.25 ref 95.125, more on screen
  • 3,000 SFRK4 97.00 calls, 2.0 last ref 95.125
  • 5,000 SFRH4 94.75/94.93/95.00 broken call trees ref 94.775
  • 2,000 SFRM4 94.56/94/68/94.81 put flys
  • 2,000 SFRM4 95.50/96.00/96.50 call flys ref 95.13
  • Block, 2,500 0QH4 95.75/96.00 put spds vs. 3QH4 96.37 puts, 4.5 net
  • 2,300 SFRJ4 95.00/95.12/95.25 put flys ref 95.125 to -.13
  • 1,300 SFRM4 95.50/95.75 call spds vs. 94.50/94.75 put spds ref 95.145
• Treasury Options:
  • over 7,400 TYH4 110 puts, 18 last
  • over 5,800 TYH3 109 puts, 4 last
  • over 5,400 TYJ4 111 puts, 55 last
  • 1,200 FVH4 109/109.5 1x2 call spds ref 107-08.5
  • 1,700 TYH4 110/111/112.5 broken put flys
  • 1,500 FVH4 107/107.75 put spds ref 107-08
  • 2,000 FVH4 106 puts, ref 107-08
  • 2,000 TYJ4 109.5/113 call spds ref 111-10.5