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Early SOFR/Treasury Option Roundup

US TSYS
  • SOFR and Treasury option trade near pared overnight into early NY trade, implied vol softer in the aftermath of Wednesday's steady FOMC rate announcement. Large legacy upside call positions remain open as underlying futures continue to adapt to the Fed's 3 rate cut projections in 2024. Large 10Y weekly midcurve call buy notable as option expires on April 12, covering the next employment report on April 5, CPI on April 10 and PPI the day after.
  • Projected rate cut pricing adjusting: May 2024 at -12.4% vs -14.5% late Wednesday w/ cumulative -3.1bp at 5.297%; June 2024 -69.5% vs. -66.7% late Wednesday w/ cumulative rate cut -20.5bp at 5.123%. July'24 cumulative steady at -32.5bp.
  • SOFR Options:
    • Block, 10,000 SFRM4 94.68/94.75 put spds, 1.25 ref 94.91
    • Block, +10,000 SFRZ4 95.00/95.25/95.50 put flys, 4.5
    • Block, 12,000 SFRJ4 95.37/95.12 call spds, 0.5 ref 94.905
    • +4,500 SFRJ4 94.81/94.87 2x1 put spds 0.75
    • 4,000 SFRZ4 94.50 puts, ref 95.535
    • 2,000 SFRU4 95.50/95.68/96.18/96.37 call condors ref 95.21
    • 2,500 SFRM4 94.87/95.00/95.12 call flys, ref 94.905
  • Treasury Options:
    • 1,500 FVM4 106/107 2x1 put spds ref 107-00.5
    • +50,000 wk2 TY 110.75 calls, 42 vs. 110-23/0.50%
    • 2,000 wk5 10Y 110/111 strangles, 19 ref 110-22
    • 2,000 SFJ4/FVK4 106.75 put spds
    • over 8,600 TYJ4 109.75 puts, 2 ref 110-14 to -13.5
    • 1,500 TYK4 109 puts, 19 ref 110-14.5
    • 1,500 FVK4 107 calls, 33.5 ref 106-31
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  • SOFR and Treasury option trade near pared overnight into early NY trade, implied vol softer in the aftermath of Wednesday's steady FOMC rate announcement. Large legacy upside call positions remain open as underlying futures continue to adapt to the Fed's 3 rate cut projections in 2024. Large 10Y weekly midcurve call buy notable as option expires on April 12, covering the next employment report on April 5, CPI on April 10 and PPI the day after.
  • Projected rate cut pricing adjusting: May 2024 at -12.4% vs -14.5% late Wednesday w/ cumulative -3.1bp at 5.297%; June 2024 -69.5% vs. -66.7% late Wednesday w/ cumulative rate cut -20.5bp at 5.123%. July'24 cumulative steady at -32.5bp.
  • SOFR Options:
    • Block, 10,000 SFRM4 94.68/94.75 put spds, 1.25 ref 94.91
    • Block, +10,000 SFRZ4 95.00/95.25/95.50 put flys, 4.5
    • Block, 12,000 SFRJ4 95.37/95.12 call spds, 0.5 ref 94.905
    • +4,500 SFRJ4 94.81/94.87 2x1 put spds 0.75
    • 4,000 SFRZ4 94.50 puts, ref 95.535
    • 2,000 SFRU4 95.50/95.68/96.18/96.37 call condors ref 95.21
    • 2,500 SFRM4 94.87/95.00/95.12 call flys, ref 94.905
  • Treasury Options:
    • 1,500 FVM4 106/107 2x1 put spds ref 107-00.5
    • +50,000 wk2 TY 110.75 calls, 42 vs. 110-23/0.50%
    • 2,000 wk5 10Y 110/111 strangles, 19 ref 110-22
    • 2,000 SFJ4/FVK4 106.75 put spds
    • over 8,600 TYJ4 109.75 puts, 2 ref 110-14 to -13.5
    • 1,500 TYK4 109 puts, 19 ref 110-14.5
    • 1,500 FVK4 107 calls, 33.5 ref 106-31