Early SOFR/Treasury Option Roundup: Better Downside Play

Mixed SOFR and Tsy option flow overnight, leaning toward low delta put structures as underlying futures trade weaker. Tsys extending lows, TYH4 at 110-28.5 last (-9.5) still above Monday low of 110-2.5. Projected rate cut pricing consolidates vs. late Wednesday lvls: March 2024 chance of 25bp rate cut currently -21.2% w/ cumulative of -5.3bp at 5.271%, May 2024 at -57.2% vs. -61.2% late Wednesday w/ cumulative -19.6bp at 5.128%, while June 2024 -87.4% vs. -90% (105% pre-NFP for comparison) w/ cumulative -41.5bp at 4.909%. Fed terminal at 5.325% in Feb'24.

• SOFR Options:
  • 4,000 SFRM4 94.87/95.00 put spds ref 95.16
  • 4,000 0QH4 96.00/3QH4 96.37 put spds
  • 3,000 SFRH4 95.00/95.06/95.12 call flys ref 94.79
  • 2,000 SFRU4 95.50/95.62 call spds vs. 94.93/95.06 put spds ref 95.545
  • 4,000 SFRK4 95.18/95.31/95.43 call flys ref 95.165
  • over 25,800 SFRH4 94.75 puts, 3.5 last tied to 94.68/94.75/94.68 ratio put fly
  • Block, 5,000 SFRU4 95.68/96.00 call spd 1.0 over 94.87/95.12 put spd
  • 4,000 SFRH4 94.75 puts ref 94.785
• Treasury Options:
  • Block, 8,000 TYH4 110/110.25/110.75 put trees, 1 net - 2 legs over vs. 111-05/0.10%
  • 1,000 TYH4 109/110 3x2 put spds , 12 ref 111-05.5
  • 5,000 wk1 10Y 109.5/110.5 put spds ref 111-20.5 (expire March 1)
  • 1,000 FVH4 106.75/107 put spds ref 107-16.25