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Early SOFR/Treasury Option Roundup: Rate Cut Pricing Cools After UK CPI

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Modest overnight volumes focused on downside SOFR and Treasury puts overnight. Underlying futures weaker following higher than expected UK inflation data, futures extending lows: TYM4 108-29.5, looking to test initial technical support at 108-29 (20-day EMA) followed by 108-15 (Low May 14 and key support). in turn, rate cut projections recede vs. late Tuesday levels (*): June 2024 at -0% w/ cumulative rate cut 0bp at 5.323%, July'24 at -18.0% (-20%) w/ cumulative at -4.5 (-6.3bp) at 5.267%, Sep'24 cumulative -17.6bp (-19.9bp), Nov'24 cumulative -24.7bp (-27.6bp), Dec'24 -39.3bp (-43.7bp).
  • SOFR Options:
    • 5,600 SFRQ4 94.68/94.81/94.93 put flys ref 94.85
    • 3,000 SFRU4 94.37/94.62 put spds, ref 94.85
    • 1,500 SFRQ4 94.81/94.83/95.12 broken call trees ref 94.85
    • 2,000 SFRU4 94.37/94.62 put spds ref 94.85
    • 1,500 2QN4 95.62/95.93 put spds ref 96.08
  • Treasury Options: Reminder, June options expire Friday
    • 1,500 FVU4 107/109 1x2 call spds ref 106-04
    • over 6,300 TYM4 109 puts, 6-12
    • 1,500 TYU4 108.5/110 strangles
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Modest overnight volumes focused on downside SOFR and Treasury puts overnight. Underlying futures weaker following higher than expected UK inflation data, futures extending lows: TYM4 108-29.5, looking to test initial technical support at 108-29 (20-day EMA) followed by 108-15 (Low May 14 and key support). in turn, rate cut projections recede vs. late Tuesday levels (*): June 2024 at -0% w/ cumulative rate cut 0bp at 5.323%, July'24 at -18.0% (-20%) w/ cumulative at -4.5 (-6.3bp) at 5.267%, Sep'24 cumulative -17.6bp (-19.9bp), Nov'24 cumulative -24.7bp (-27.6bp), Dec'24 -39.3bp (-43.7bp).
  • SOFR Options:
    • 5,600 SFRQ4 94.68/94.81/94.93 put flys ref 94.85
    • 3,000 SFRU4 94.37/94.62 put spds, ref 94.85
    • 1,500 SFRQ4 94.81/94.83/95.12 broken call trees ref 94.85
    • 2,000 SFRU4 94.37/94.62 put spds ref 94.85
    • 1,500 2QN4 95.62/95.93 put spds ref 96.08
  • Treasury Options: Reminder, June options expire Friday
    • 1,500 FVU4 107/109 1x2 call spds ref 106-04
    • over 6,300 TYM4 109 puts, 6-12
    • 1,500 TYU4 108.5/110 strangles