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Early SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR and Treasury options on lighter volumes trade overnight, relatively quiet with underlying futures inching lower after extending Friday highs overnight. Traders close to sidelines ahead data/Fed speak on shortened Easter holiday week. Projected rate cut pricing moderating vs. late Friday highs: May 2024 at -14.5% vs. -16.5% late Friday w/ cumulative -3.6bp at 5.291%; June 2024 -66.7% vs. -69.3% w/ cumulative rate cut -20.3bp at 5.125%. July'24 cumulative at -32.0bp vs. -33.5bp.

  • SOFR Options:
    • +4,600 SFRM4 94.75/94.81/94.87 put flys, 0.5 ref 94.905
    • +2,000 SFRQ4 94.93/95.12/95.18/95.37 call condors, 5.5 ref 95.21
  • Treasury Options:
    • 2,400 TYK4 108.5/110.75 put spds vs. 113.75 calls ref 110-22
    • 6,000 FVK4 105 puts vs. 3,000 FVK4 108 calls ref 107-02.75
    • 5,700 Wed wk4 weekly 10Y 111.75 calls ref 110-24.5 (exp 3/27)
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