Early SOFR/Treasury Option Roundup: Focus on Mar'24 Expiry

Mixed option trade overnight with better Mar'24 10Y put volume in the last few minutes. Underlying futures weaker/inside narrow range ahead of this morning's January employment report (0830ET). Projected rate cut chances moderated after surging higher midday Thursday: March 2024 chance of 25bp rate cut currently -38.7% vs. -45.5% w/ cumulative of -9.7bp at 5.222%, May 2024 at -90.8% vs. -98.2% w/ cumulative -32.4bp at 4.995%, while June 2024 slips to 105% vs. 116.6% w/ cumulative -58.6bp at 4.733%. Fed terminal at 5.3125% in Feb'24.

• SOFR Options:
  • Block, 5,000 SFRM4 94.87/95.00/95.12 put flys, 1.5 ref 95.33
  • over 4,200 SFRH4 94.81 puts, 2.75 last
  • 3,500 SFRJ4 95.43 calls, 15 last
  • 2,000 SFRH4 94.68/94.75 2x1 put spds ref 94.87
  • 4,000 SFRH4 95.00/95.25 call spds ref 94.87
  • 2,000 SFRU4 95.81/95.93 call spds vs. SFRU4 95.18/95.31 put spds
• Treasury Options:
  • Block, 8,000 TYH4 109.5/110.75 2x1 put spds, 4 ref 112-23.5/0.06%
  • 30,000 TYH4 110.5/111.5 put spds, 12 ref 112-23.5/0.14%
  • 2,000 wk2 TY 110.5/111.25 put spds ref 112-23
  • 3,700 FVH4 110.25 calls ref 108-17.25
  • 10,000 TYH4 111/112.5 2x1 put spds
  • 4,800 TYH4 109.5/111/112.5 put flys ref 112-23
  • 4,000 wk2 FV 106.75/107/107.25 put trees, expire Feb 9