Early SOFR/Treasury Option Roundup

Overnight SOFR option flow looks pared while Treasury options saw better 5Y and 10Y put structures - continued downside risk hedging ahead this morning's CPI (not to mention tomorrow's PPI and potential for 10- & 30Y auctions to move markets in the short term).

• Underlying futures steady to mixed, curves flatter with the short end trading mildly lower. Projected rate cut pricing steady to late Monday levels: March 2024 chance of 25bp rate cut currently -3.9% w/ cumulative of -0.01bp at 5.323%; May 2024 at -20.7% w/ cumulative -6.1bp at 5.271%; June 2024 -61.8% w/ cumulative cut -21.6bp at 5.116%. July'24 cumulative -36.5bp at 4.968%.
• SOFR Options:
  • Block, 4,000 0QJ4 95.93/96.06 call spds 4.0 vs. 95.91/0.23%
  • 2,000 SFRK4 95.00/95.12 2x1 put spds ref 94.925
  • Block/screen, 10,000 SFRJ4 95.25/95.37 call spds, 0.5 vs. 94.93/0.04%
  • 2,000 SFRJ4 94.93/95.00/95.06/95.12 call condors, ref 94.925
  • 6,000 SFRJ4 95.06/95.12/95.25/95.31 call condors, ref 94.93 to -.925
  • 2,000 SFRM4 94.68/94.87 2x1 put spds
  • 9,500 0QH4 95.68/95.75 put spds ref 95.91
  • Block/screen, 9,500 2QM4 96.62 calls, 20.5vs. 96.46/0.44%
  • 2,000 SFRM4 95.00/95.06/95.31 put trees ref 94.93
• Treasury Options:
  • 7,000 TYJ4 108.5 puts, ref 111-21
  • 1,200 TYJ4 108.75/109.75/110.75 put flys ref 111-20
  • 17,000 FVJ4 108.25 calls vs. FVJ4 106.75/107.25 put spds ref 107-19.25