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Early SOFR/Treasury Option Roundup: Rate Cut Projection Gains Post-Data

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SOFR and Treasury option trade remains mixed after underlying futures extend gains post data. Rate cut projections have gained vs pre-data levels (*): June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -14% (-10%) w/ cumulative at -3.5bp (-2.5bp) at 5.293%, Sep'24 cumulative -14.7bp (-13.6bp), Nov'24 cumulative -21.6bp (-19.7bp), Dec'24 -35.3bp (-33.1bp).
  • SOFR Options:
    • -4,000 SFRZ4 94.56/94.68/95.37/95.50 iron condor 4.0-4.25 ref 95.015
    • +5,000 0QM4 95.81 calls, 1.5 vs. 95.395/0.10%
    • -1,000 SFRH5 95.50 straddles, 73.5 ref 95.21
    • 4,000 SFRM4 94.68/94.75 call spds vs. SFRU4 94.68/94.75/94.81/94.87 put condors
    • +7,000 SFRU4 94.75/94.81/94.87 put flys, .25
    • Block/screen +7,500 SFRU4 94.81/94.87/94.93/95.00 call condors 1.25
    • +5,000 SFRZ4 96.00 calls, 5.0 ref 94.985
  • Treasury Options:
    • 1,600 TYQ4 112/113/114 call flys
    • 2,000 FVN4 105.5 straddles ref 105-14.5
    • +10,000 TYN4 109/109.5 call spds 9 ref 108-08
    • Block, 10,000 TYN4 108/108.25 put strip, 1-22 vs. 108-03.5/100%
    • 4,800 TYN4 107.25/108 2x1 put spds, 3-2 ref 108-02.5
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SOFR and Treasury option trade remains mixed after underlying futures extend gains post data. Rate cut projections have gained vs pre-data levels (*): June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -14% (-10%) w/ cumulative at -3.5bp (-2.5bp) at 5.293%, Sep'24 cumulative -14.7bp (-13.6bp), Nov'24 cumulative -21.6bp (-19.7bp), Dec'24 -35.3bp (-33.1bp).
  • SOFR Options:
    • -4,000 SFRZ4 94.56/94.68/95.37/95.50 iron condor 4.0-4.25 ref 95.015
    • +5,000 0QM4 95.81 calls, 1.5 vs. 95.395/0.10%
    • -1,000 SFRH5 95.50 straddles, 73.5 ref 95.21
    • 4,000 SFRM4 94.68/94.75 call spds vs. SFRU4 94.68/94.75/94.81/94.87 put condors
    • +7,000 SFRU4 94.75/94.81/94.87 put flys, .25
    • Block/screen +7,500 SFRU4 94.81/94.87/94.93/95.00 call condors 1.25
    • +5,000 SFRZ4 96.00 calls, 5.0 ref 94.985
  • Treasury Options:
    • 1,600 TYQ4 112/113/114 call flys
    • 2,000 FVN4 105.5 straddles ref 105-14.5
    • +10,000 TYN4 109/109.5 call spds 9 ref 108-08
    • Block, 10,000 TYN4 108/108.25 put strip, 1-22 vs. 108-03.5/100%
    • 4,800 TYN4 107.25/108 2x1 put spds, 3-2 ref 108-02.5