Early SOFR/Treasury Option Roundup: Projected Rate Cuts Cool

FI option trade sees a pick-up in put structures overnight with Apr'24 SOFR put condor buyer and better 10Y Tsy puts at the moment. Underlying futures are weaker but off overnight lows as projected rate cuts for early 2024 continue to cool: January 2024 cumulative -2.6bp at 5.302%, March 2024 chance of rate cut -67.8% vs. -84.3% last Friday w/ cumulative of -19.6bp at 5.133%, May 2024 chances of a full 25bp cut dips below 100% to 95.2% with cumulative -43.4bp at 4.895%, June'24 cumulative -68bp at 4.648%. Fed terminal at 5.327% in Jan'24.

• SOFR Options:
  • +11,250 SFRJ4 95.25/95.31/95.50/95.56 put condors, 1.25 ref 95.385
  • 3,000 SFRU4 96.50 calls ref 95.795
  • 2,000 SFRH4 95.56/95.81 call spds ref 94.945
  • 2,000 SFRF4 94.81/94.93/95.00 broken put flys ref 94.945
  • 6,000 SFRH4 94.81/94.93 call spds ref 94.945 to -.95
  • 2,100 0QF4 96.50/96.62 2x3 call spds ref 96.445
  • 2,000 SFRH4 95.00/95.25/95.50 call flys ref 94.94
• Treasury Options:
  • 4,500 TYG4 111 puts, 28 ref 112-01.5/0.31%
  • 2,500 TYG4 110.75/111.75 2x1 put spds, ref 112-02.5
  • 6,200 wk2 TY 111 puts, 14-15 ref 112-03.5 to -04.5/0.24%