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Early SOFR/Treasury Option Roundup

US TSYS
Carry over upside hedging in SOFR and Treasury options on lighter volume overnight, underlying futures steady to marginally higher in 5s and 10s as markets await ADP Employment data at 0815ET. Projected rate cut pricing look steady to mildly lower from late Tuesday: May 2024 steady at -6.7% w/ cumulative -1.7bp at 5.312%; June 2024 -57% vs -59.7% late Tuesday w/ cumulative rate cut -15.9bp at 5.169%. July'24 cumulative at -24.1bp vs -24.6bp, Sep'24 cumulative -40.8bp vs. -41.9bp.
  • SOFR Options:
    • Block, 6,000 SFRM4 94.81/94.93/95.12/95.25 call condors, 5.25, ref 94.85
  • Treasury Options:
    • 1,250 TYK4 102.5/103 call spds ref 102-01.88
    • 1,000 FVK4 106.5 straddles ref 106-11.5
    • 2,400 TYK4 108/109.5 2x1 put spds, 17 ref 109-18.5
    • 2,200 wk1 10Y 110.5/111 1x2 call spds, expire Friday

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