Early SOFR/Treasury Option Roundup: Better Put Interest

Better SOFR/Treasury put volumes noted overnight, with some modest SOFR call structures in Jun'24 and Sep'24 expirys more recently. Underlying futures opened weaker but holding relatively narrow range after Fed Chairman Powell's 60 Minutes interview underscored more cautious view re: rate cuts: "IT'S UNLIKELY FED WILL HAVE CONFIDENCE TO CUT IN MARCH ... FOMC RATE FORECASTS LIKELY NOT CHANGED MUCH SINCE DEC" Bbg.

• Projected rate cut chances retreated: March 2024 chance of 25bp rate cut currently -18.3% vs. -22.2% late Friday w/ cumulative of -4.6bp at 5.275%, May 2024 at -57.1% vs. -70.6% w/ cumulative -18.9bp at 5.133%, while June 2024 has retreated to -82.4% from -87.9% late Friday (105% pre-NFP for comparison) w/ cumulative -39.7bp at 4.924%. Fed terminal at 5.32% in Feb'24.
• SOFR Options:
  • 1,500 2QH4 96.75/97.00 1x2 call spds ref 96.61
  • 4,500 SFRU4 95.37/SFRZ4 95.50 put calendar diagonal spds
  • 8,000 SFRM4 94.68/94.87 put spds vs. 95.12/95.25/95.50/95.62 call condors
  • 5,000 SFRU4 95.06/95.18 put spds vs. 95.87/96.00 call spds
  • Block, 5,000 SFRM4 95.25/95.37/95.50/95.62 call condors, 1.0 vs. 95.115/0.05%
  • over 8,200 0QH4 95.87 puts ref 96.165 to -.17
  • 9,000 SFRM4 94.75/94.87 put spds vs. 95.50/95.62 call spds ref 95.12
  • 2,500 SFRM4 95.25/95.62 call spds vs. 2QM4 96.75/97.12 call spds
  • 2,700 0QH4 96.00 puts ref 96.15
  • 9,000 SFRM4 94.87/95.00/95.12 put flys
  • 8,000 SFRJ4 95.12/95.18/95.37 broken put trees, ref 95.12
• Treasury Options:
  • over 10,000 TYH4 109 puts, 4 last ref 111-05.5 to -06.5
  • 2,000 TYH4 109/110 3x2 put spds, 16 ref 111-07
  • 1,500 TYH4 109.25/110 3x2 put spds, 13 ref 111-07.5
  • over 7,400 FVH4 107 puts, 16 last
  • over 7,600 FVH4 107.5 puts, mostly 29
  • over 6,100 FVH4 108 puts, 48 last
  • over 4,500 TYH4 110 puts, mostly 12