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Early SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR and Treasury option trade overnight, lighter volumes with China, Japan out on holiday. Overnight futures firmer, extending highs after marking overnight lows in morning London trade (TYH4 +8.5 at 110-27, yield 4.1521%).

  • Projected rate cut pricing steady to slightly higher vs. late Friday: March 2024 chance of 25bp rate cut currently -19.3% w/ cumulative of -4.8bp at 5.278%, May 2024 at -56.0% vs. -54.0% late Friday w/ cumulative -18.8bp at 5.138%, while June 2024 -83.8% vs. -81.3% late Friday w/ cumulative -39.8bp at 4.928%. Fed terminal at 5.325% in Feb'24.
  • SOFR Options:
    • 1,250 SFRM4 95.50/96.50 4x5 call spds ref 95.125
    • 1,750 SFRJ4 95.12/95.25/95.37 call spds
    • 2,000 SFRU4 94.87/95.12 put spds vs. 95.68/96.00 call spds ref 95.49
    • 2,000 SFRM4 94.75 puts, 3.5 last
    • 6,000 SFRM4 95.12/95.37 call spds 3.75 over 94.75 put spds
    • 1,200 0QG4 96.18/96.31 put spds ref 96.115
  • Treasury Options:
    • over 12,000 TYH4 110 puts 14 last
    • 2,000 TYH4 110.5 puts, 27 ref 110-20
    • 3,300 TYJ4 112 calls, 42 last
    • 1,200 TYJ4 104.5 puts ref 111-12
    • 2,300 TYJ4 108 puts, ref 111-08
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Mixed SOFR and Treasury option trade overnight, lighter volumes with China, Japan out on holiday. Overnight futures firmer, extending highs after marking overnight lows in morning London trade (TYH4 +8.5 at 110-27, yield 4.1521%).

  • Projected rate cut pricing steady to slightly higher vs. late Friday: March 2024 chance of 25bp rate cut currently -19.3% w/ cumulative of -4.8bp at 5.278%, May 2024 at -56.0% vs. -54.0% late Friday w/ cumulative -18.8bp at 5.138%, while June 2024 -83.8% vs. -81.3% late Friday w/ cumulative -39.8bp at 4.928%. Fed terminal at 5.325% in Feb'24.
  • SOFR Options:
    • 1,250 SFRM4 95.50/96.50 4x5 call spds ref 95.125
    • 1,750 SFRJ4 95.12/95.25/95.37 call spds
    • 2,000 SFRU4 94.87/95.12 put spds vs. 95.68/96.00 call spds ref 95.49
    • 2,000 SFRM4 94.75 puts, 3.5 last
    • 6,000 SFRM4 95.12/95.37 call spds 3.75 over 94.75 put spds
    • 1,200 0QG4 96.18/96.31 put spds ref 96.115
  • Treasury Options:
    • over 12,000 TYH4 110 puts 14 last
    • 2,000 TYH4 110.5 puts, 27 ref 110-20
    • 3,300 TYJ4 112 calls, 42 last
    • 1,200 TYJ4 104.5 puts ref 111-12
    • 2,300 TYJ4 108 puts, ref 111-08