Early SOFR/Treasury Option Roundup

Mixed SOFR and Treasury option flow after better call volume this morning, underlying futures firmer but off post-data highs. Federal Reserve Chairman Powell's testimony to congress repeat of Wednesday.

• In turn - projected rate cut pricing steady to slightly lower vs. morning highs: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -18.6% w/ cumulative -5.2bp at 5.276%; June 2024 -65.5% from -68.3% late Wednesday w/ cumulative cut -21.6bp at 5.105%. July'24 cumulative -36.8bp vs. -38.1bp at 4.950%.
• SOFR Options:
  • +10,000 SRU4 96.00 calls 11.5 ref 95.26
  • -4,000 SRU5 96.00 puts 47.5 vs. 96.31/0.40%
  • +5,000 SRM5 95.12/95.62/96.12 put trees .5 ref 96.16
  • +12,000 0QH4 96.25 calls 2.0 ref 95.905
  • 3,000 SFRM4 94.56/94.75 put spds ref 94.92
  • Block, +5,000 SFRM4 95.62/95.87 call spds, 1.0 vs. 94.94/0.05%
  • +5,000 SFRJ4 95.37/95.75 call spds, 0.75 vs. 94.93/0.07%
  • 1,500 SFRM4 96.00/96.50 call spds
• Treasury Options:
  • +9,000 TYK4 111 puts, 55
  • 3,000 wk2 FV 107.75/108 call spds, ref 107-17.25 (expire Friday)
  • 2,850 wk2 TY 111/112.5 put over risk reversals ref 111-15.5/0.43% (expires Friday)