Early SOFR/Treasury Option Roundup

SOFR and Treasury options traded mixed on lighter volumes overnight, carryover weakness in underlying futures following Tuesday's higher than hoped for CPI inflation data. Projected rate cut pricing recedes - CPI data unlikely to provide the FOMC confidence of inflation returning to 2% in the near term: March 2024 chance of 25bp rate cut currently -0.8% w/ cumulative of -0.02bp at 5.328%; May 2024 at -12.4% vs. -14.5% late Tuesday w/ cumulative -3.3bp at 5.297%; June 2024 -59.5% vs. -63% late Tuesday w/ cumulative cut -18.2bp at 5.148%. July'24 cumulative -31.2bp at 4.993%.

• SOFR Options:
  • 2,500 SFRJ4 95.25/95.37 call spds ref 94.88
  • Block, 2,500 SHRH4 94.68/94.75/94.87 broken put trees, 10.25 ref 94.6725
  • 5,000 SFRK4 94.81/94.93 call spds ref 94.885
  • 3,000 0QH4 95.68/95.75 put spds ref 95.81
  • 6,000 SFRK4 94.81/94.93/95.06 call flys ref 94.895
  • Block, 4,000 SFRM4 94.81/94.93/95.12/95.25 call condors, 5.5 ref 94.90
• Treasury Options:
  • 3,000 TUJ4 102.37 calls ref 102-13.5 to -13.12
  • 3,300 FVJ4 107 puts, 11-12 ref 107-11.25