Early SOFR/Treasury Option Roundup

Mixed SOFR option trade overnight leaned towards limited upside call condors overnight while Treasury option focused on 5- and 10Y put spds. Underlying futures mildly higher, inside narrow overnight range after yesterday's sell-off on higher than expected CPI inflation data and weak 10Y auction re-open. Projected rate cut pricing remains subdued near late Wednesday levels: May 2024 at -2.6% w/ cumulative -.6bp at 5.322%; June 2024 at -16.2% (-55.1% pre-CPI) w/ cumulative rate cut -4.7bp vs -14.9bp at 5.282%. July'24 cumulative at -12.1bp, Sep'24 cumulative -23bp.

• SOFR Options:
  • 2,650 SFRU4 94.50/94.75/95.00/95.12 broken put condors ref 94.875
  • 3,500 SFRZ4 93.75/94.50 2x1 put spds ref 95.07 to -.075
  • 1,000 SFRM4 94.68/94.81/94.87/95.00 call condors ref 94.73
  • 4,000 SFRN4 95.75 calls vs. SFRU4 95.62/96.50 call spds
  • 4,000 SFRU4 94.62/94.87/94.93/95.06 put condors ref 94.865
  • 2,500 SFRU4 94.62/94.87 put spds ref 94.865
  • 1,500 SFRU4 95.00/95.25/95.50/95.75 call condors ref 94.87
  • 2,000 SFRU4 94.87/95.12/95.37/95.62 call condors ref 94.88
  • 1,000 SFRK4 94.62/94.68/94.75/94.71 call condors ref 94.725
• Treasury Options:
  • 3,500 TYM4 107 puts, 36 ref 108-06.5 to -07
  • over 17,500 FVK4 104.75/105.25 put spds vs. FVK4 105.75 calls
  • 1,500 FVM4 105/106.5 put spds ref 105-08.75
  • 2,500 TYK4 107/107.5 put spds ref 108-09.5
  • 5,000 TYK4 108/109 put spds ref 108-09
  • 5,000 TYK4 107/108 put spds
  • 7,500 TYK4 107/107.5/108 put flys, 1 ref 108-12.5