Early SOFR/Treasury Option Roundup: Waiting to Commit

Early SOFR and Treasury option trade looking mixed so far, traders waiting to see if this morning's jump in supercore PCE to 4.2% will lend more to the post data rally before committing more capital. Near-term projected rate cut pricing holds steady vs. this late Wednesday's read, gaining slightly at midyear: March 2024 chance of 25bp rate cut currently -2.7% w/ cumulative of -0.07bp at 5.322%; May 2024 at -18.4% w/ cumulative -5.3bp at 5.276%; June 2024 -59.2% from -55.5% late Wednesday w/ cumulative cut -20.1bp at 5.128%. First full cut priced in at July w/cumulative -34.6bp vs -33.4bp at 5.003%. Fed terminal at 5.327% in Mar'24.

• SOFR Options:
  • Block, 5,000 SFRM4 95.75/96.00 call spds, 0.5
  • Block, 5,000 SFRM4 95.75/95.87 call spds 0.5
  • 3,000 2QH4 96.50/96.75 call spds ref 96.30
  • Block, +2,500 SFRJ4 94.75/94.81/94.87 put trees, 0.25
  • +8,000 SFRM4 94.87/95.06 put spds, 12.5 ref 94.89
  • +4,000 SFRM4 94.81/95.00 put spds, 11.0 vs. 94.89/0.25%
  • 4,000 SFRM4 94.87/95.00/95.12 call flys ref 94.89 (some vs. 94.62 put)
• Treasury Options:
  • 3,000 TYJ4 109.25/111.5 strangles, 51 ref 110-14
  • over +25,000 TYJ4 108.5 puts, 16-11 ref 110-03
  • 2,400 TYJ4 109.5/111 put spds ref 110-03.5
  • Block, 3,030 TYJ4 110.5/111.5 call spds vs. TYJ4 109.25 puts, 1 net/calls over vs. 110-10.5/0.50%