Early SOFR/Treasury Option Roundup: Mostly Puts, Large SOFR Call Fly

More consistent SOFR and Treasury put trades on lighter volumes overnight. The notable exception a buyer of just over 30,000 Mar'24 SOFR call flys looking to fade the drop in underlying futures and build rate cut position. Projected rate cuts for early 2024 have cooled in the last few sessions after surging higher post Dec'23 FOMC: January 2024 cumulative -1.6bp at 5.313%, March 2024 chance of rate cut -66.8% vs. -84.3% last Friday w/ cumulative of -18.3bp at 5.145%, May 2024 chance of cut -86% vs. fully pricing in the first cut last week, cumulative -39.8bp at 4.931%. Fed terminal at 5.33% in Jan'24.

• SOFR Options:
  • +30,000 SFRH4 94.87/95.00/95.12 call flys, 2.75 ref 94.93 to -.925
  • 4,500 SFRF4 95.00/95.12/95.25 call flys ref 94.925
  • 10,000 SFRJ4 95.25/95.31/95.50/95.56 put condors
  • over 7,000 SFRH4 94.87 puts ref 94.93
  • 1,000 SFRH4 94.68/94.87/95.00 broken put flys ref 94.945
  • 2,000 2QF4 96.75/96.87/97.00 call flys ref 96.845
• Treasury Options:
  • 9,000 TYG4 111 puts, 17 ref 112-14.5
  • Block, 6,000 wk3 TY 111 puts, 13 ref 112-14.5 (expire Jan 19)
  • Block, +5,000 FVG4 108/109.5 risk reversal, 5.5 put over ref 108-15.5
  • 5,000 FVG4 109.5 calls, 15 ref 108-13.5
  • 5,100 FVG4 108 puts, 25 ref 108-13.25