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Early SOFR/Treasury Option Roundup

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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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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