Early SOFR/Treasury Option Roundup

Better Treasury option volumes overnight with continued buying of 10Y midcurve calls overnight. Thursday saw buyer of 50k each: wk2 TY 110.75 calls and wk2 TY 110.50 puts, same premium for both (42) while both hedged vs. TYM4/delta neutral. Both expire on April 12, covering the next employment report on April 5, CPI on April 10 and PPI the day after. Meanwhile, underlying futures extending highs ahead the NY open, following EGBs lead while projected rate cut pricing largely steady: May 2024 at -14.5% w/ cumulative -3.6bp at 5.291%; June 2024 -64.1% vs. w/ cumulative rate cut -19.6bp at 5.131%. July'24 cumulative at -31.5bp.

• Treasury Options: (April options expire today)
  • 2,500 TYM4 107.5/109 3x2 put spds ref 110-17.5 to -18
  • 50,000 WK2 TY 110.75 calls, 37 vs. 110-18/0.45% (expire Apr 12)
  • 15,000 TYK4 109.5/110.5 2x1 put spds, 1 ref 110-19
  • -15,000 FVJ4 106.75/107.25 put spds, 21.5-15.5
  • -5,000 TYK4 109.5 puts, 20 vs. 110-24.5/0.30%
  • Over 5,500 TYJ4 110.5 puts, 4 last
  • Over 5,200 TYK4 111 calls, 39 last
• SOFR Options:
  • 2,000 0QM4 96.50/97.00 call spds ref 95.98
  • 2,000 SFRK4 94.87/95.00 2x1 put spds
  • 3,000 SFRK4 94.75 puts, 1.5 last