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Late SOFR/Treasury Option Roundup

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Friday's option volume well off pace for the week, lost opportunity for sidelined accounts ahead the weekend and next week's FOMC as underlying futures in the short end surged higher later in the second half. Headline risk tied to banks rekindled implied rate cut expectations by midyear again. Implied cut for Jul'23 at -26.3bp to 4.318%, Sep'23 cumulative of -44.5 to 4.323%; peak Fed terminal rate has fallen to 4.795% for May'23 vs. 4.920% earlier. Highlight trade includes:

  • SOFR Options:
    • Block, 9,000 SFRM4 93.50 puts, 6.5 ref 96.68
    • Block, +5,000 SFRZ3 96.06 straddles, 160.0 ref 96.07
    • Block, 7,500 SFRM3 94.50/94.75 put spds, 7.0 ref 95.45
    • +10,000 SFRJ3 94.50/95.00 put spds, 12.25 ref 95.355
    • Block, +10,000 SFRM3 96.00/97.00 call spds 13.5 ref 95.31 to -.315
    • +5,000 SFRJ3/SFRM3 95.00 put spds, 7.0 still bid
  • Treasury Options:
    • over 15,000 FVJ3 108/108.5 put spds, 3.5-5.0 ref 109-29
    • over 4,500 USJ3 127 puts, 3
    • over 9,900 TYJ3 115 calls, 36 last ref 114-22.5 to -24.5
    • 10,000 TYK3 115/116 call spds vs. TYK3 105/108/109.5/111 broken put condor
    • 5,000 TYM3 120/125/130 call flys, ref 114-12
    • 1,000 FVK 110.5/111.5 4x5 call spds ref 109-01.75
    • 2,000 FVK 112/113 call spds ref 109-04.5
    • 4,100 FVJ3 109.5 calls, 21 ref 109-00.25
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Friday's option volume well off pace for the week, lost opportunity for sidelined accounts ahead the weekend and next week's FOMC as underlying futures in the short end surged higher later in the second half. Headline risk tied to banks rekindled implied rate cut expectations by midyear again. Implied cut for Jul'23 at -26.3bp to 4.318%, Sep'23 cumulative of -44.5 to 4.323%; peak Fed terminal rate has fallen to 4.795% for May'23 vs. 4.920% earlier. Highlight trade includes:

  • SOFR Options:
    • Block, 9,000 SFRM4 93.50 puts, 6.5 ref 96.68
    • Block, +5,000 SFRZ3 96.06 straddles, 160.0 ref 96.07
    • Block, 7,500 SFRM3 94.50/94.75 put spds, 7.0 ref 95.45
    • +10,000 SFRJ3 94.50/95.00 put spds, 12.25 ref 95.355
    • Block, +10,000 SFRM3 96.00/97.00 call spds 13.5 ref 95.31 to -.315
    • +5,000 SFRJ3/SFRM3 95.00 put spds, 7.0 still bid
  • Treasury Options:
    • over 15,000 FVJ3 108/108.5 put spds, 3.5-5.0 ref 109-29
    • over 4,500 USJ3 127 puts, 3
    • over 9,900 TYJ3 115 calls, 36 last ref 114-22.5 to -24.5
    • 10,000 TYK3 115/116 call spds vs. TYK3 105/108/109.5/111 broken put condor
    • 5,000 TYM3 120/125/130 call flys, ref 114-12
    • 1,000 FVK 110.5/111.5 4x5 call spds ref 109-01.75
    • 2,000 FVK 112/113 call spds ref 109-04.5
    • 4,100 FVJ3 109.5 calls, 21 ref 109-00.25