May 17, 2024 12:11 GMT
Early SOFR/Treasury Option Roundup
US TSYS
Mixed SOFR and Treasury option trade overnight, limited volumes so far. Underlying weaker on light volume with no data to trade off of today. Rate cut projections largely in-line with late Thursday levels, well off Wed's post-data highs: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -24% w/ cumulative at -8.5bp at 5.253%, Sep'24 cumulative -21.3bp, Nov'24 cumulative -30bp, Dec'24 -45.2bp.
- SOFR Options:
- +4,000 SFRM4 94.62/95.00 call over risk reversals vs. 94.695/0.10%
- 1,000 SFRU4 94.62/94.75/94.81/94.88 broken put condors
- 1,800 SFRU4 94.62/94.75 put spds
- 2,000 SFRN4/SFRU4 94.68 put spds
- +5,500 0QH5 94.50/95.00 put spds, 6.0 ref 96.05
- Treasury Options:
- 4,000 USU4 112/117 2x1 put spds ref 117-22
- 1,000 TYM4 108.75/109.25 3x2 put spds, 13 ref 109-13
- 1,500 FVM4 106.25/107 1x2 call spds, 5 ref 106-01
- 3,800 FVM4 105.75/FVN4 106.75 call spds
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