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Early SOFR/Treasury Option Roundup: Pre-Data Maneuvering

US TSYS

Mixed trade on modest volumes overnight, active desks close to the sidelines ahead of this morning's CPI, PPI and FOMC tomorrow. Underlying futures stronger, nearing pre-NFP levels with TYH4 tapping 110-22 recently (10YY 4.1834% low). Curves flatter with short end lagging. Projected rate cuts for early 2024 mostly steady: December still flat at 5.333%, January 2024 cumulative -.7bp at 5.323%, March 2024 chance of rate cut at -48.4% vs. -44.5% late Monday w/ cumulative of -12.8bp at 5.202%, May 2024 -63.8% vs. -63.5% late Monday, cumulative -28.7bp at 5.042%. Fed terminal at 5.335% in Feb'24.

  • SOFR Options: Reminder, Dec'24 SOFR options expire Friday
    • 2,000 SFRM4 94.50/94.62/94.68/94.81 put condors ref 95.14
    • 3,000 SFRM4 97.50/98.00 call spds ref 95.145
    • 3,600 0QZ3 95.75 puts ref 95.825
    • 4,000 SFRF4 94.81/94.93/95.06 call flys ref 94.815
  • Treasury Options:
    • 10,000 wk5 TY 109 puts, 17 ref 110-21 (expire Dec 29)
    • 5,700 TYF4 112 calls, 12-14
    • 5,000 TYF4 109.5 puts, 16-18
    • 2,000 wk3 TY 109/109.5/110 put flys, 1 ref 110-20

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