May 21, 2024 11:48 GMT
Early SOFR/Treasury Option Roundup
US TSYS
Large SOFR call spreads Blocks an 10Y vol sales drive late overnight option trade as underlying futures rebound from Monday's selling. Rate cut projections steady vs. late Monday: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.318%, July'24 at -20% w/ cumulative at -6.3bp at 5.267%, Sep'24 cumulative -19.6bp, Nov'24 cumulative -27.1bp, Dec'24 -42.3bp.
- SOFR Options:
- Block, +30,000 SFRZ4 95.50/96.37 call spds, 8.0 vs. 95.10/0.19%
- Block, +10,000 SFRU4 95.62 calls, 2.75 vs. 94.86/0.10%
- Block, +30,000 SFRZ4 95.50/96.00 call spds, 5.5 vs. 95.085/0.13%
- Treasury Options:
- Block/screen, -14,300 TYM4 109.25 straddles, 27 ref 109-05
- 1,300 USM4 119/120 call spds, ref 116-31
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