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Early SOFR/Treasury Option Roundup

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Slightly better SOFR calls and Treasury put options trade overnight, modest overall volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures lower after extending highs early overnight, TYM4 back near Monday's opening level (107-27.5). Projected rate cut pricing steady to late Monday levels: May 2024 -2.1% w/ cumulative -0.5bp at 5.324%; June 2024 at -10.6% w/ cumulative rate cut -3.2bp at 5.297%, July'24 cumulative at -8.1bp, Sep'24 cumulative -17.9bp.
  • SOFR Options:
    • 5,000 0QK4 95.75 calls ref 95.36
    • 5,000 SFRM4 96.18 calls ref 94.71 to -.705
    • 2,000 SFRM4 94.87/95.00 2x3 put spds ref 94.705
  • Treasury Options:
    • over 8,700 TYM4 106 puts, 12 last
    • 1,500 FVM4 106.25/107/107.75 call flys ref 104-31.75
    • 1,500 TYM4 111.5/112 call spds ref 107-29
    • 2,000 FVM4 107.75/108.5 call spds ref 105-01.5
    • 4,000 TYM4 107/108 put spds vs. TYM4 109 calls ref 107-31
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Slightly better SOFR calls and Treasury put options trade overnight, modest overall volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures lower after extending highs early overnight, TYM4 back near Monday's opening level (107-27.5). Projected rate cut pricing steady to late Monday levels: May 2024 -2.1% w/ cumulative -0.5bp at 5.324%; June 2024 at -10.6% w/ cumulative rate cut -3.2bp at 5.297%, July'24 cumulative at -8.1bp, Sep'24 cumulative -17.9bp.
  • SOFR Options:
    • 5,000 0QK4 95.75 calls ref 95.36
    • 5,000 SFRM4 96.18 calls ref 94.71 to -.705
    • 2,000 SFRM4 94.87/95.00 2x3 put spds ref 94.705
  • Treasury Options:
    • over 8,700 TYM4 106 puts, 12 last
    • 1,500 FVM4 106.25/107/107.75 call flys ref 104-31.75
    • 1,500 TYM4 111.5/112 call spds ref 107-29
    • 2,000 FVM4 107.75/108.5 call spds ref 105-01.5
    • 4,000 TYM4 107/108 put spds vs. TYM4 109 calls ref 107-31