Early SOFR/Treasury Option Roundup: Paired Ahead NFP

SOFR and Treasury options look paired between calls and puts overnight, underlying futures firmer ahead of this morning's February employment report. Projected rate cut pricing looking steady in the near term to slightly higher vs. late Thursday levels: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -24.8% vs. -22.7% this morning w/ cumulative -7.6bp at 5.255%; June 2024 -68% from -65.4% late Thursday w/ cumulative cut -24.5bp at 5.086%. July'24 cumulative -40.4bp vs. -39.4bp at 4.938%.

• SOFR Options:
  • 4,600 0QH4 95.62/95.87/96.00/96.12 put condors ref 95.935
  • 6,250 SFRM4 95.00 calls ref 94.965
  • Block, 6,500 SFRM5 96.50 risk reversals, 41.25 vs. 96.07/100%
  • 1,000 SFRH4 94.68/94.81/94.93 put flys
• Treasury Options:
  • 2,000 TYM4 111/113 call spds ref 111-25
  • 2,500 TYJ4 110/111.25 put spds vs. wk3 TY 112.25 calls
  • 2,100 FVJ4 106.75/108.75 risk reversals ref 107-23.75
  • 2,250 TYJ4 108.5/109.5/110.5 put flys, ref 111-24.5
  • 3,000 wk3 TY 110.25/111 put spds, 10 ref 111-24, expire next Fri
  • 8,700 Wed weekly 10Y 110.25/111 3x2 put spds ref 111-25.5, expire next Wed