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Early SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury option trade back to mixed overnight after pick-up in upside call trade Tuesday. Underlying futures mildly firmer, top end of narrow overnight range in the lead up to this morning's headline CPI inflation data, March FOMC minutes this afternoon. Projected rate cut pricing largely steady vs. late Tuesday levels: May 2024 at -4.7bp w/ cumulative -1.2bp at 5.317%; June 2024 at -55.1% w/ cumulative rate cut -14.9bp at 5.179%. July'24 cumulative at -24.4bp, Sep'24 cumulative -41.2bp. Salient trade:
  • SOFR Options:
    • 12,000 2QU4 97.00/97.37 call spds ref 96.175
    • 2,000 SFRM4 94.50/94.62 put spds ref 94.84
    • 1,250 SFRZ4 96.50/97.25/98.50 2x3x1 broken call flys ref 95.335
    • 3,000 SFRM4 94.75/94.87/95.06/95.18 call condors ref 94.84
    • Block, 2,500 SFRH4 94.62/95.12 put spds, 12.0 vs. 95.54/0.15%
    • Block, 4,000 0QK4 96.43/96.62 call spds, 1.0 ref 95.75
  • Treasury Options:
    • 3,500 TYM4 107.5 puts, 16 ref 109-21.5
    • 2,000 FVK4 107 calls ref 106-08.5
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SOFR and Treasury option trade back to mixed overnight after pick-up in upside call trade Tuesday. Underlying futures mildly firmer, top end of narrow overnight range in the lead up to this morning's headline CPI inflation data, March FOMC minutes this afternoon. Projected rate cut pricing largely steady vs. late Tuesday levels: May 2024 at -4.7bp w/ cumulative -1.2bp at 5.317%; June 2024 at -55.1% w/ cumulative rate cut -14.9bp at 5.179%. July'24 cumulative at -24.4bp, Sep'24 cumulative -41.2bp. Salient trade:
  • SOFR Options:
    • 12,000 2QU4 97.00/97.37 call spds ref 96.175
    • 2,000 SFRM4 94.50/94.62 put spds ref 94.84
    • 1,250 SFRZ4 96.50/97.25/98.50 2x3x1 broken call flys ref 95.335
    • 3,000 SFRM4 94.75/94.87/95.06/95.18 call condors ref 94.84
    • Block, 2,500 SFRH4 94.62/95.12 put spds, 12.0 vs. 95.54/0.15%
    • Block, 4,000 0QK4 96.43/96.62 call spds, 1.0 ref 95.75
  • Treasury Options:
    • 3,500 TYM4 107.5 puts, 16 ref 109-21.5
    • 2,000 FVK4 107 calls ref 106-08.5