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Early SOFR/Treasury Option Roundup

US TSYS
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Better volume in mixed SOFR options than Treasury options overnight. Underlying futures modestly weaker with Treasuries extending lows at the moment. Projected rate cut pricing continues to cool: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% vs. -16.2% late Monday w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at -11.1bp vs. -11.6bp, Sep'24 cumulative -21.1bp vs. -22.3bp.
  • SOFR Options:
    • 10,500 SFRZ4 93.87/94.37 3x2 put spds ref 95.045 to -.04
    • 1,500 SFRM4 94.81/94.93/95.06 call flys vs. SFRU4 94.87 calls
    • 9,600 SFRM4 94.81/94.93/95.00/95.12 call condors ref 94.725
    • 7,800 SFRK4/SFRM4 94.56/94.68 put spd spd ref 94.7
    • 2,000 0QM4 95.62/96.00 call spds ref 95.41
  • Treasury Options: Reminder, May options expire Friday
    • 1,700 FVM4 108 calls ref 105-00.75
    • 2,000 FVK4 104.5 puts ref 105-01
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Better volume in mixed SOFR options than Treasury options overnight. Underlying futures modestly weaker with Treasuries extending lows at the moment. Projected rate cut pricing continues to cool: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% vs. -16.2% late Monday w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at -11.1bp vs. -11.6bp, Sep'24 cumulative -21.1bp vs. -22.3bp.
  • SOFR Options:
    • 10,500 SFRZ4 93.87/94.37 3x2 put spds ref 95.045 to -.04
    • 1,500 SFRM4 94.81/94.93/95.06 call flys vs. SFRU4 94.87 calls
    • 9,600 SFRM4 94.81/94.93/95.00/95.12 call condors ref 94.725
    • 7,800 SFRK4/SFRM4 94.56/94.68 put spd spd ref 94.7
    • 2,000 0QM4 95.62/96.00 call spds ref 95.41
  • Treasury Options: Reminder, May options expire Friday
    • 1,700 FVM4 108 calls ref 105-00.75
    • 2,000 FVK4 104.5 puts ref 105-01