FI Option Trades Mixed, Rate Cut Projections Tempered

SOFR and Treasury option focus shifted from better call volume overnight to mixed during the NY session, puts traded on decent size as underlying futures unwound a portion of Friday's rally as markets tempered 2024 rate cut projections: December at -.3bp at 5.333%, January 2024 cumulative -3.3bp at 5.302%, March 2024 pricing in -54.2% chance of a rate cut with cumulative at -16.8bp at 5.167%, May 2024 pricing in -66.0% (-71.2% this morning) with cumulative -33.3bp at 5.002%. Fed terminal at 5.330% in Feb'24.

• SOFR Options:
  • +14,000 pit/Screen and Block: SFRF4 94.68/94.81/94.87/95.00 call condors, 5.5-5.25
  • 1,600 SFRH4 94.62 puts vs. SFRM4 94.75/95.12 put spds
  • 7,200 SFRZ3 97.00/97.12 put spds, ref 94.625
  • 2,635 SFRF4 94.50/94.75/94.87 broken put flys, ref 94.88
  • +14,000 SFRG4 94.75 puts, 5.0 vs. 94.89/0.27% remains bid
  • Block, 1500 0QZ3 95.43/95.93/96.37 2x6x3 call flys 7.5/wings over, 19.0
  • Block, 3,000 0QZ3 96.12/96.37/96.50 broken call flys, 4.0 vs. 95.955/0.12%
  • Block, 1,250 0QZ3 95.43/95.87/96.25 2x6x3 call flys 7.5/wings over
  • Block, 5,000 0QG4 97.00/97.25 call spds, 3.0 vs. 96.185/0.05% at 0607:05ET
  • 3,000 SFRH4 95.00/96.00 call spds ref 94.89
  • 10,000 2QZ3 96.56/96.75/96.93 call flys ref 96.52
  • 2,500 0QZ3 95.75 puts, 6.0 ref 95.96
  • 2,000 SFRH4 94.93 puts, ref 94.87
  • 1,500 0QM4 97.25/97.75 call spds ref 96.425
  • 2,000 0QM4 96.50/97.25 call spds ref 96.425
• Treasury Options:
  • +10,000 wk3 TY 109.75/110.75 strangles, 1
  • 2,000 FVH4 104.75/106.25 2x1 put spds ref 107-04.75
  • +15,000 wk3 10Y 111 calls, 32 vs. 110-14.5/0.38%
  • over 11,500 TYF4 107.5 puts, 4-6
  • over 9,400 TYF4 109 puts, 19 last
  • over 7,200 TYF4 111.5 calls, 31 last
  • 4,200 TYG4 107.5/110 2x1 put spds
  • 1,500 TYF3 110.5/111.5 call spds ref 110-21.5