Early SOFR/Treasury Option Roundup: Mixed Overnight Positioning

Mixed on net, overnight SOFR options trade revolves around out-of-the-money put structures, lighter Treasury option volume in calls. Underlying Tsy futures broke narrow overnight range earlier, trades mildly higher. Short end SOFR futures mildly weaker as projected rate cut pricing continues to ebb: May 2024 at -13.9% w/ cumulative -3.5bp at 5.291%; June 2024 -63.1% w/ cumulative rate cut -19.3bp at 5.134%. July'24 cumulative at -29.6bp, Sep'24 cumulative -48.6bp at 4.841%.

• SOFR Options:
  • Block, 5,000 SFRZ4 95.18/95.50 put spds 5.0 over 96.00/97.25 call spds
  • 3,400 SFRM4 95.12/95.25 put spds ref 94.89
  • Block, 3,000 0QJ4 96.06 calls, 6.5 ref 95.96
  • Block 3,000 SFRM4 94.81/0QM4 96.31 call spds, 1.5
  • 5,000 SFRZ4 95.18/95.31 put spds vs. 2,500 SFRZ4 96.00/97.25 call spds
  • 4,000 SFRK4 94.68/94.75 put spds ref 94.885
  • 3,000 3QK4 96.50 calls ref 96.36
• Treasury Options:
  • 2,500 TYK4 111/113 call spds vs. TYK4 108.5 puts, 24 net/call spd over
  • 1,900 FVK4 105/106 put spds
  • 2,500 TUK4 102.12/102.25/102.37 call flys ref 102-09.25