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Early SOFR/Treasury Option Roundup

US TSYS
Mixed overnight option trade leaning towards upside SOFR calls (note Sep call condor), Treasury options more pared on lighter volume at the moment. Underlying futures rebounding in the lead-up to Wednesday's CPI and FOMC event risk, taking cues from EGBs again. Rate cut projections looking steady to firmer vs. late Monday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -8% w/ cumulative at -2.3bp at 5.307%, Sep'24 cumulative -14.6bp (-13.1bp), Nov'24 cumulative -22.8bp (-20.1bp), Dec'24 -39.3bp (-36.8bp)
  • SOFR Options:
    • +12,500 SFRU4 94.81/94.87/94.93/95.00 call condors, 1.5 ref 94.81
    • 2,000 0QM4 95.62 calls ref 95.55
    • 1,600 0QM4 95.37/95.43/95.50 put trees ref 95.555
    • Block 2,500 SFRU4 95.50/95.93 call spds, 0.5 ref 94.82
    • 2,000 SFRZ4 96.12/96.25 call spds ref 95.06
    • 1,250 2QZ4 97.75/98.00/98.12 broken call flys ref 96.12
    • 3,000 0QU4 96.37 calls ref 95.70
  • Treasury Options:
    • over 5,100 TYN4 109.5 calls
    • over 4,300 TYN4 108.5 puts, 11 last
    • 1,640 FVU4 106.25 straddles, ref 106-05.25
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