Late SOFR/Treasury Option Roundup

Option trades leaned bullish Monday, fading the post-jobs unwind of implied rate cuts (Dec FF appr 88bp last Wed to appr 42bp now). Ergo, looking for rate cuts to get priced back in. Markets won’t have long to see if that is the case with the next major data metric of CPI out this Wednesday.

• SOFR Options:
  • -20,000 SFRM4 95.75/96.50/97.25 call flys, 13.0-12.5 ref 96.55
  • Block, 20,000 SFRU3 95.50/95.75 put spds, 18.0 ref 95.30
  • 2,000 SFRM3 94.75/95.25 2x1 put spds,
  • +5,000 SFRK3 94.62/94.75/94.87 put flys, 2.0
  • 1,000 SFRJ3 94.75/94.87/95.00 put flys ref 95.045
  • -5,000 SFRU 94.75/94.87 put spds 0.5 over SFRU3 95.37/95.50 call spds vs 95.35/0.10%
  • 3,500 SFRU3 95.50 calls, ref 95.355
  • 2,000 SFRJ3 95.00/95.25 call spds
  • 2,000 OQU3 95.75/96.00 put spds, 4.5 ref 96.92
  • 1,000 SFRK3 94.75/95.00/95.25 put flys
• Treasury Options:
  • 15,000 TYM3 114.5/117 put over risk reversals, 5 ref 115-15.5
  • 2,000 TYM3 113.5/114.5 put spds, 23 ref 115-17
  • Block, 7,500 TYM3 117 calls, 14 vs. 115-14/0.20%
  • 1,000 FVM3 112.5 calls 8 over FVM3 108/109 put spds ref 109-29.25
  • 1,000 TYM3 113.5/118 strangles
  • 4,000 TYK3 120 calls, 3 ref 115-20.5
  • 2,000 FVK3 109.75 puts, 24.5 ref 110-02
  • 3,600 wk2 FV 109/109.5 put spds, 6 ref 110-06.25
  • 3,300 wk2 FV 109/109.75 put spds, 13 ref 110-07
  • 1,800 TYM3 113 puts, 24 ref 115-29.5
  • 1,500 FVM3 109.25 puts, 36 ref 110-06.25