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Early SOFR/Treasury Option Roundup: Put Focus, Rate Cut Pricing Cools

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SOFR and Treasury options revolve around downside puts overnight, modest volumes with underlying futures trading weaker - near lows. Projected rate cut pricing running steady to mildly lower vs. late Friday lvls: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -14.6% w/ cumulative rate cut -4.3bp at 5.286%. July'24 cumulative at 11.6bp, Sep'24 cumulative -21.6bp.

  • SOFR Options:
    • +7,000 0QU4 94.62/95.00/95.25/95.50 broken put condor, 4.0 vs. 95.545/0.10%
    • 2,000 SFRM4 94.68/94.75/94.81 put flys ref 94.73
    • 1,600 0QM4 94.75/95.00 put spds ref 95.375
  • Treasury Options: Reminder, May options expire Friday
    • -4,000 TYK4 107.5/108 put spds, 18
    • +4,000 USK4 112 puts, 8
    • 2,000 FVM4 104 puts, ref 104-27.5
    • over 5,400 FVM 105.75 puts, 105 last
    • over 3,700 FVM4 107 calls, 7 last
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SOFR and Treasury options revolve around downside puts overnight, modest volumes with underlying futures trading weaker - near lows. Projected rate cut pricing running steady to mildly lower vs. late Friday lvls: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -14.6% w/ cumulative rate cut -4.3bp at 5.286%. July'24 cumulative at 11.6bp, Sep'24 cumulative -21.6bp.

  • SOFR Options:
    • +7,000 0QU4 94.62/95.00/95.25/95.50 broken put condor, 4.0 vs. 95.545/0.10%
    • 2,000 SFRM4 94.68/94.75/94.81 put flys ref 94.73
    • 1,600 0QM4 94.75/95.00 put spds ref 95.375
  • Treasury Options: Reminder, May options expire Friday
    • -4,000 TYK4 107.5/108 put spds, 18
    • +4,000 USK4 112 puts, 8
    • 2,000 FVM4 104 puts, ref 104-27.5
    • over 5,400 FVM 105.75 puts, 105 last
    • over 3,700 FVM4 107 calls, 7 last