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Early SOFR/Treasury Option Roundup

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Mixed SOFR and Treasury option trade on light volume overnight, underlying futures steady to mildly higher at the moment. Projected rate cut pricing largely steady vs. late Wednesday: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.1bp, Sep'24 cumulative -24.4bp.

  • SOFR Options:
    • 1,500 3QM4 95.25/95.75/96.25 put flys ref 95.92
    • 3,000 0QN4 94.75 puts ref 95.595
  • Treasury Options: Reminder, May options expire Friday
    • 2,000 TYM4 106.5/107 put spds ref 107-25.5
    • 1,600 USM4 119 calls, 15 ref 113-30
    • over 6,600 TYK4 107.5 puts, 7 last
    • 5,000 FVM4 106/107 call spds ref 105-03
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Mixed SOFR and Treasury option trade on light volume overnight, underlying futures steady to mildly higher at the moment. Projected rate cut pricing largely steady vs. late Wednesday: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.1bp, Sep'24 cumulative -24.4bp.

  • SOFR Options:
    • 1,500 3QM4 95.25/95.75/96.25 put flys ref 95.92
    • 3,000 0QN4 94.75 puts ref 95.595
  • Treasury Options: Reminder, May options expire Friday
    • 2,000 TYM4 106.5/107 put spds ref 107-25.5
    • 1,600 USM4 119 calls, 15 ref 113-30
    • over 6,600 TYK4 107.5 puts, 7 last
    • 5,000 FVM4 106/107 call spds ref 105-03