Early SOFR/Treasury Option Roundup: Put Buying Resumes

Downside put trade gains momentum this morning after better SOFR and Treasury option call trade reported overnight. Underlying futures trading mildly lower after morning data. Rate cut projections are gradually receding from Wed's post-data highs where weaker retail sales, down revisions and in-line CPI figures, saw rates price in two 25bp cuts by year end. At the moment: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -24% vs. -28% earlier w/ cumulative at -8.5bp (-9.5bp earlier) at 5.253%, Sep'24 cumulative -22.1bp (-23.6bp earlier), Nov'24 cumulative -31.5bp (-33.8bp earlier), Dec'24 -47.2bp (-49.5bp earlier).

• SOFR Options:
  • +15,000 SFRM4 94.68/94.75/94.81 put flys, 1.0 ref 94.895
  • -2,000 SFRH5 94.25/94.62/95.00 put flys WITH SFRM5 94.25/94.50/94.75/95.00 put condor, 9.0
  • -5,000 0QU4 95.12/95.25 put spds, 2.0 ref 95.845
  • +5,000 SFRU4/SFRZ4 94.62/94.87 put spd spd 1.75
  • -10,000 0QN4 95.25/95.50 put spds, 3.75 ref 95.865
  • 9,200 2QU4/3QU4 96.50 call spds/curve play
  • 4,000 SFRM4 94.81/95.00 call spds ref 94.70
  • +13,500 SFRU4 94.87/94.93/95.06 put trees, 0.5 ref 94.92
  • Block, +4,000 SFRV4 95.12/95.37/95.75 broken call flys, 2.25 ref 95.18
  • -4,000 0QZ4 96.87/97.75/98.25 broken call flys, 7.5
  • 2,500 SFRZ4 95.37/95.43 call spds ref 95.205
  • +4,000 SFRU4 95.25/95.37 call spds, 1.0 ref 94.93
• Treasury Options:
  • 1,200 USM4 116.5/117.5 put spds, 12 ref 118-12
  • 5,000 TYM4 111.5 calls, 1 ref 109-27
  • 6,500 TYM4 109.5/110.25 1x2 call spds, 11 ref 109-25
  • 2,000 TYN4 111/112.5 call spds ref 110-07.5
  • 1,500 FVM4 106.5/107 call spds ref 106-10