Early SOFR/Treasury Option Roundup

SOFR and Treasury option trade remain mixed overnight, modest volumes as traders appear cautious in committing capital ahead Fed Chairman Powell's semi-annual policy testimony to Congress on Wed-Thu and NFP Friday. Projected rate cut pricing are steady to slightly higher vs. late Monday levels: March 2024 chance of 25bp rate cut currently -2.3% w/ cumulative of -0.6bp at 5.323%; May 2024 at -18.6% w/ cumulative -5.2bp at 5.276%; June 2024 -60% from -57.4% late Monday w/ cumulative cut -20.2bp at 5.126%. July'24 cumulative -34.6bp at 4.983%.

• SOFR Options:
  • 2,000 SFRM4 94.75/95.12 strangles
  • 2,000 3QH4 96.00/96.25/96.37/96.62 call condors ref 96.45
  • Block, 6,000 0QM4 97.00 calls, 6.5 vs. 96.11/0.10%
  • 5,000 0QJ4 96.12 calls vs. 0QK4 95.75 puts ref 96.075
  • 2,000 SFRM4 94.50/95.00 2x1 put spds
  • Block, 5,750 SFRZ4 94.62/95.00 2x1 put spds 0.5 ref 95.545
  • 4,000 0QH4 95.50/95.62 put spds
• Treasury Options:
  • 1,900 TYJ4 106 puts ref 111-05
  • 1,600 TYM4 113/115 call spds, 22 ref 111-05
  • 1,500 FVJ4 106.75/107.75 strangles ref 107-07.75
  • 1,600 TYM4 110/112 call spds ref 110-31