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Early SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury options trade looks pared in early trade, generally lighter volumes with underlying futures trading weaker after the open, TYM4 on lows at 108-26 (-6.5). Projected rate cut pricing look steady to mildly softer then late Tuesday levels: June 2024 at -10.0% w/ cumulative rate cut -2.5bp at 5.302%, July'24 at -22% w/ cumulative at -8bp at 5.248%, Sep'24 cumulative -20.5bp, Nov'24 cumulative -29bp, Dec'24 cumulative currently -43.1bp.
  • SOFR Options:
    • +20,000 2QM4 96.56/96.62 call spds .625 synth ref 96.00
    • +5,000 SFRM4 94.75/95.12/95.37 broken call trees, 0.75 ref 94.705
    • +7,000 SFRN4 94.18/94.43/94.68 put flys, 1.0 vs. 94.895/0.10%
    • Block, 3,000 SFRN4/SFRQ4 94.18/94.43/94.68 put fly strip, 2.75 total
    • 3,750 SFRN4 94.18/94.43/94.68 put flys ref 94.89
    • 2,500 SFRK4 94.68/94.75 put spds
  • Treasury Options:
    • 2,800 USQ4 121 calls, 53 last
    • 4,000 TYM4 106.25 puts ref 108-31

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