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Early SOFR/Treasury Option Roundup

US TSYS
Mixed SOFR and Treasury option trade overnight, call buying and two-way put positioning on lighter volumes. Underlying futures mildly weaker at the moment, curves flatter with the short end underperforming. Projected rate cut pricing steady vs. late Wednesday levels: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 steady at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.1bp, Sep'24 cumulative -24.1bp.
  • SOFR Options:
    • 4,500 0QK4 95.75 calls, ref 95.465 total volume over 10.4k
    • 4,400 SFRM4 94.87/94.93/95.00/95.06 call condors ref 94.735
    • Block/screen +17,000 SFRV4/SFRZ4 94.62 put spds, 2.5-3.0
    • 2,500 SFRV4/SFRX4 94.37/94.62 put spd spd
    • 2,000 SFRK4 94.50/94.75 put spds ref 94.74 to -.735
    • +4,500 0QM4 94.87/95.00/95.25 put flys, 4.5
  • Treasury Options:
    • 4,000 TYK4 107 puts, 4 ref 108-07.5
    • -15,000 TYM4 105 puts, 7
    • 2,000 TYK4 109 calls, 8 ref 108-06.5
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