April 29, 2024 11:15 GMT
Early SOFR/Treasury Option Roundup
US TSYS
SOFR and Treasury options look mixed overnight, better puts in SOFR vs. Treasury 10Y calls at the moment. Light volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures firmer this morning, at near top end of overnight range, also on lighter volumes with Japan out on holiday. Projected rate cut pricing largely steady vs. late Friday levels: May 2024 -2.6% w/ cumulative -0.8bp at 5.321%; June 2024 at -9.2% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -19.7bp.
- SOFR Options:
- 4,000 SFRZ4 95.50/95.75 call spds vs. 2,000 SFRZ4 94.62 puts ref 95.02
- 8,500 SFRM4 94.68/94.75/95.00 call trees ref 94.705
- Treasury Options:
- 4,700 TYM4 106.75/107.75 2x1 put spds ref 107-23
- 3,500 TYM4 107/107.75 2x1 put spds
116 words