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Early SOFR/Treasury Option Roundup: Tsy 5Y, 10Y Calls

US TSYS
Better 5- and 10Y Call option trade reported overnight, SOFR trade more pared on light volume in the lead up to this morning's PCE Deflator data. Underlying futures steady to mildly higher along with projected rate cuts in H1 2024: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -49.4% w/ cumulative of -13.0bp at 5.199%, May 2024 at -83.4% w/ cumulative -33.8bp at 4.991%, June 2024 back over 100% at -102.7% w/ cumulative -59.5bp at 4.734%. Fed terminal at 5.325% in Feb'24.
  • SOFR Options:
    • 2,000 SFRU4 95.75/95.87/96.00/96.12 call condors ref 95.74
    • 2,500 SFRU4 95.87/96.12/96.37 call flys ref 95.75
    • 2,000 SFRJ4 95.00 puts, 4.25 last
    • 1,750 SFRH4 94.87/95.25 call spds
    • Block, SFRU4 95.50/95.75 4x5 call spds vs. 94.75 puts x4
    • Block 4,000 0QJ4 95.93/96.25/96.50 broken put flys, ref 96.56
    • 2,000 SFRM4 95.75/96.06 call spds ref 95.315
  • Treasury Options:
    • over 10,500 TYG4 111.75 calls
    • over 11,600 TYG4 112 calls
    • over 13,000 TYH4 112.5 calls, 24 last
    • over 6,500 FVG4 108.25 calls, 1.5 last
    • over 3,000 FVG4 108 calls, 4.5 last
    • Block 5,000 TYJ4 116/117.5 call spds, 5 ref 112-02.5/0.05%
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