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Early SOFR/Treasury Options Roundup

US TSYS

Mixed SOFR option trade overnight on modest volumes ahead Fed Chairman Powell's semi-annual policy testimony to Congress this morning (1000ET; text as early as 0830ET).

  • Underlying futures mildly weaker while projected rate cut pricing looks steady to slightly lower vs. late Tuesday levels: March 2024 chance of 25bp rate cut currently -2.3% w/ cumulative of -0.6bp at 5.323%; May 2024 at -20.7% w/ cumulative -5.7bp at 5.271%; June 2024 -61.8% from -64.4% late Tuesday w/ cumulative cut -21.2bp at 5.116%. July'24 cumulative -35.6bp at 4.972%.
  • SOFR Options:
    • 8,000 SFRK4 94.75/94.81/94.87/94.93 put condors ref 94.93
    • 2,000 SFRM5 97.75/98.25 call spds ref 96.105
    • 2,000 SFRM4 94.68/94.81 2x1 put spds
    • 2,000 0QH4 96.06/96.18 call spds ref 95.86
  • Treasury Options:
    • over 9,800 FVJ4 106.75 puts ref 107-13.25
    • 1,700 TYJ4 111.25 calls, 43 ref 111-03

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