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Early SOFR/Treasury Option Roundup: Put Focus, Underlying Reverses

US TSYS

Better SOFR, Treasury option put trade overnight, underlying futures reversing Friday's Middle East related risk-off rally. Projected rate cut pricing recedes from Friday's levels: May 2024 at -2.6% vs. -5.7% late Friday w/ cumulative -.6bp at 5.322%; June 2024 at -22.6% vs. -23.5% (compares to -55.1% pre-CPI) w/ cumulative rate cut -6.3bp at 5.266%. July'24 cumulative at -14.6bp vs -16.9bp earlier, Sep'24 cumulative -25.7bp vs. -28.8bp.

  • SOFR Options:
    • +27,000 SFRU4 94.75 puts vs. 94.94/0.32%
    • 1,000 SFRH4 94.62/95.12 2x1 put spds vs. 3,000 SFRU4 94.75 puts
    • 1,500 SFRM4 94.62/94.68/94.75/94.81 call condors
  • Treasury Options:
    • 7,800 wk3 10Y 107.5 puts, 7 ref 108-07.5
    • +9,000 TYK4 110.25 calls, 5
    • 2,000 wk1 10Y midcurve 107/107.25/108/108.25 put condors ref 108-12
    • -10,000 Monday 10Y midcurve 108/108.5 put spds 12-14
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