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Early SOFR/Treasury Option Roundup, Puts Fading Rate Rally

US TSYS

Mixed SOFR and Treasury option trade overnight, the former leaning towards downside puts looking to fade this morning's rate rally. For the moment at least, option accts are taking heed of rate cut pricing pushback from the Fed last week. Projected rate cuts for the first half of 2024 continue to recede: January cumulative -0.1bp at 5.328%, March chance of rate cut -49.4% vs. -52.4% late Friday w/ cumulative of -12.5bp at 5.204%, May at 77.2% vs. -86.4% late Friday w/ cumulative -31.8bp at 5.011%. June -96.6% w/ cumulative -55.9bp at 4.770%. Fed terminal at 5.325% in Feb'24.

  • SOFR Options:
    • 6,000 0QG4 95.62 puts, cab
    • 2,000 SFRZ4 95.50/96.00 2x1 put spds ref 96.04
    • 2,000 SFRH4 94.68/94.81/94.87/94.93 put condors ref 94.86
    • 2,500 SFRH4 94.75/95.00/95.25 call flys
    • 5,000 SFRH4 94.68/94.75 put spds ref 94.845
    • 4,000 SFRJ4 95.25/95.50/96.00 broken call flys
    • 2,500 SFRJ4 94.81/94.93/95.18 broken put flys
    • 12,000 SFRG4 94.75/94.87/94.93/95.00 broken put condors
    • 13,000 SFRH4 94.87/95.00 call spds ref 94.855/0.22%
    • 10,000 SFRU4 96.25/97.00/98.00 broken call trees ref 95.665
  • Treasury Options:
    • 3,100 FVJ4 110 calls, 18 last
    • 5,900 FVJ4 109.5 calls, 24.5 last
    • over 7,700 TYG4 110.5 puts, 4 last
    • 3,000 TYG4 109.5/110.75/112 put flys, ref 111-14
    • 1,800 USH4 114 puts, 13 ref 120-11/0.09%
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