Early SOFR/Treasury Option Roundup: More 10Y Puts

More modest option volumes reported overnight, continued intertest in 10Y puts while SOFR flow looks more paired. Heavy downside puts and put structures reported this week as accts hold to the post-CPI mindset of significantly delayed rate cuts as the Fed waits for sign inflation is at bay.

• Underlying futures weaker ahead this morning's PPI data at 0830ET. Projected rate cut pricing in turn has consolidated (Jun still fully priced): March 2024 chance of 25bp rate cut currently -10.06% vs -14.4% late Thursday w/ cumulative of -2.6bp at 5.302%; May 2024 at -28.9% vs. -31.2% late Thursday w/ cumulative -9.9bp at 5.230%; June 2024 -65.0% vs. -68.5% w/ cumulative cut -26.1bp at 5.068%. Fed terminal at 5.33% in Feb'24
• SOFR Options:
  • 2,000 SFRM4 95.00/95.12 3x2 put spds ref 94.965
  • 4,600 SFRM4 94.87 calls vs. 0QM4 96.50 calls
  • 4,000 SFRM4 94.75/94.87 put spds ref 94.97
  • 2,000 SFRM4 94.75/94.87 put spds vs. SFRM4 95.12/95.25 call spds
  • 1,000 3QH4 96.00/96.25 3x2 put spds ref 96.32
  • 5,000 SFRJ4 94.50/94.75/95.50 call trees ref 94.97
  • 1,500 2QH4 96.06/96.31 3x2 put spds ref 96.35 to -.355
  • 3,000 0QG4 96.00/96.12 call spds ref 95.91
  • 2,400 2QG4 96.25/96.31/96.37 put trees ref 96.355
  • 2,000 2QH4 96.38 puts ref 96.355
  • Block, 2,500 SFRM4 94.56/94.68/94.81 put flys, 2.25 ref 95.00
• Treasury Options: Reminder, March options expire next week Friday
  • 20,000 TYJ4 107.5/108/108.5 put flys ref 110-15 to -14.5
  • over 10,200 TYJ4 109 puts, 28 last
  • over 5,200 TYJ4 110.5 calls
  • 2,000 TYH4 110.5 calls, 10 ref 109-30.5
  • 2,000 TYH4 109.5/111/112.5 put flys, 35 ref 109-30