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Early SOFR/Treasury Option Roundup: Back to Puts

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Modest SOFR and Treasury option volume focus on downside puts overnight, underlying futures moderately lower as Tuesday's post flash PMI support is scaled back. In turn, projected rate cut pricing swung back to recent lows: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% vs. -16.2% late Wednesday w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at -11.6bp vs. -13.6bp, Sep'24 cumulative -22.9bp vs. -25.6bp.
  • SOFR Options:
    • 3,300 SFRZ4 94.87/95.37 2x1 put spds ref 95.065
    • 1,250 SFRV4 /SFRZ4 94.37/94.62 put spd spd
    • 2,500 SFRZ4 94.00/94.12/94.37/94.50 put condors ref 95.075
    • 2,500 SFRK4 94.93/95.06 call spds ref 94.73
  • Treasury Options: Reminder, May options expire Friday
    • 6,000 wk2 US 106.25 puts expire May 10
    • 4,700 weekly Wednesday 10Y 107.5 puts, 1 expire today
    • 2,500 TYK4 107.25/108 2X1 put spds
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Modest SOFR and Treasury option volume focus on downside puts overnight, underlying futures moderately lower as Tuesday's post flash PMI support is scaled back. In turn, projected rate cut pricing swung back to recent lows: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% vs. -16.2% late Wednesday w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at -11.6bp vs. -13.6bp, Sep'24 cumulative -22.9bp vs. -25.6bp.
  • SOFR Options:
    • 3,300 SFRZ4 94.87/95.37 2x1 put spds ref 95.065
    • 1,250 SFRV4 /SFRZ4 94.37/94.62 put spd spd
    • 2,500 SFRZ4 94.00/94.12/94.37/94.50 put condors ref 95.075
    • 2,500 SFRK4 94.93/95.06 call spds ref 94.73
  • Treasury Options: Reminder, May options expire Friday
    • 6,000 wk2 US 106.25 puts expire May 10
    • 4,700 weekly Wednesday 10Y 107.5 puts, 1 expire today
    • 2,500 TYK4 107.25/108 2X1 put spds