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Early SOFR/Treasury Option Roundup

US TSYS
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SOFR and Treasury option trade looked mixed overnight, lighter volumes as support in underlying futures cools ahead the NY open. Curves flatter (2s10s -1.821 at -31.386) with the short end underperforming. Projected rate cut pricing largely steady vs. late Thursday levels: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -9.9% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -18.1bp.
  • SOFR Options:
    • Block, 4,000 SFRZ4 96.50 calls, 6.0 vs. 95.03/0.10%
    • Block, 7,500 SFRM4 94.68/94.75 put spds 3.5 over 94.93/95.68 call spds ref 94.71
    • 12,750 SFRQ4 94.87/94.93 call spds vs. 94.62/94.68 put spds ref 98.85
    • 2,000 SFRU4 94.25/94.62 put spds ref 94.855
  • Treasury Options: May options expire today
    • 1,700 FVK4 104.75 puts, 5 ref 104-25.75
    • 3,900 TYK 107.25 puts, 4 ref 107-17
    • 2,000 wk1 TY 107.75/108.25 call spds ref 107-14
    • over 7,800 TYM4 106 puts 21 ref 107-16
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SOFR and Treasury option trade looked mixed overnight, lighter volumes as support in underlying futures cools ahead the NY open. Curves flatter (2s10s -1.821 at -31.386) with the short end underperforming. Projected rate cut pricing largely steady vs. late Thursday levels: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -9.9% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -18.1bp.
  • SOFR Options:
    • Block, 4,000 SFRZ4 96.50 calls, 6.0 vs. 95.03/0.10%
    • Block, 7,500 SFRM4 94.68/94.75 put spds 3.5 over 94.93/95.68 call spds ref 94.71
    • 12,750 SFRQ4 94.87/94.93 call spds vs. 94.62/94.68 put spds ref 98.85
    • 2,000 SFRU4 94.25/94.62 put spds ref 94.855
  • Treasury Options: May options expire today
    • 1,700 FVK4 104.75 puts, 5 ref 104-25.75
    • 3,900 TYK 107.25 puts, 4 ref 107-17
    • 2,000 wk1 TY 107.75/108.25 call spds ref 107-14
    • over 7,800 TYM4 106 puts 21 ref 107-16