Early SOFR/Treasury Option Roundup: Better SOFR Call Structures

Better SOFR call structures driving overnight option volume on net. Back to rate cut position builds irrespective of underlying futures reversing overnight gains. Focus on CPI and PPI on Thursday/Friday respectively after Fri's Dec jobs gains tempered by large down-revisions for priors, coupled with lower than expected ISM services data. Projected rate cuts for early 2024 continue to cool after surging higher since Dec'23 FOMC: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -62% w/ cumulative of -16.6bp at 5.163%, May 2024 chance of cut -86.8%, cumulative -38.3bp at 4.946%. Fed terminal at 5.33% in Jan'24.

• SOFR Options:
  • Blocks, 7,500 SFRM4 94.87 puts, 5.5 vs. 95.33/0.19% adds to 20k on screen
  • 7,700 SFRU4 96.25/97.00/97.50 broken call flys ref 95.695
  • 4,000 SFRJ4 94.68/94.93/95.75/96.00 call condors ref 95.325
  • over 10,000 SFRH 95.00 call/SFRM4 95.00 puts
  • 35,000 SFRH4 94.87/95.00/95.12 call flys ref 94.925 to -.915
  • 8,000 2QJ4 96.00 puts, 5.0 ref 96.67/0.18%
  • 3,800 0QH4 95.00/95.50/95.75/96.00 broken put condors ref 96.365
  • 4,000 SFRJ4 95.12/95.37/95.62 call flys ref 95.335
  • 8,200 SFRU4 96.50/97.00 call spds ref 95.715
  • 7,000 SFRF4 94.93/95.00/95.06 call flys ref 94.92
  • 6,000 SFRG4 94.75/95.00/95.25 call flys ref 94.92
  • 4,000 SFRJ4 95.37 calls ref 95.325 ref 95.325/0.45%
  • 4,000 SFRH4 94.56/94.68/94.81 put flys ref 94.915
  • 3,000 SFRH4 95.00 calls ref 94.92/0.38%
• Treasury Options:
  • 3,000 FVH4 106.25/107.25 put spds vs. 109.25/110.75 call spds ref 107-29.5
  • Blocks, 12,000 wk2 TY 111 puts, 11 vs. wk3 TY 110.75 puts, 14 ref 111-23.5