Early SOFR/Treasury Option Roundup: Upside Calls

SOFR option trade focus on March'24 call structures overnight, limited Treasury option volumes ahead of this morning's PPI and FOMC this afternoon. Underlying futures stronger, nearing pre-NFP levels with TYH4 tapping 110-23 recently (10YY 4.1757% low). Curves flatter with short end lagging. Projected rate cuts for early 2024 mostly steady: December still flat at 5.333%, January 2024 cumulative -1bp at 5.32%, March 2024 chance of rate cut at -41.6% vs. -39.7% late Tuesday w/ cumulative of -11.4bp at 5.216%, May 2024 -59.3% vs. -60.2% late Tuesday, cumulative -26.2bp at 5.068%. Fed terminal at 5.33% in Feb'24.

• SOFR Options: Reminder, Dec'24 options expire Friday
• +1,000 SFRH4 94.75/94.87/95.00 call flys, 1.5
• +3,000 SFRH4 94.75/94.87/95.00 call flys .5 over SFRH4 94.37 puts ref 94.795
• 2,500 0QZ3 95.62/95.87 put spds ref 95.77
• 1,500 0QZ3 95.87 calls ref 95.87
• 5,000 SFRH4 95.00/95.25/95.43 broken call flys ref 94.805
• Block, 3,000 SFRZ3 94.62/94.68 call spds, cab
• 1,000 SFRF4 94.68/94.75/94.81/94.87 call condors ref 94.795
• Treasury Options:
• 5,000 TYF4 111.25 calls, 23 ref 110-21
• 1,300 Wed wkly 110.25 puts, 6 ref 110-20
• 2,000 Wed wkly 109.75 puts, 1 (expire today)