Late SOFR/Treasury Option Roundup

Thursday's salient FI option trade involved large upside SOFR call structures as underlying futures surged (SOFR Whites-Reds: SFRM3-SFRH5) as much as 0.420. Building upside hedges as implied rate cuts gathering momentum. Fed funds implied move for the next FOMC on June 14 is static at -3.1bp, while projected rate cut for September -40.6 cumulative at 4.650%, November cumulative -68.8bp at 4.373, Dec'23 cumulative -95.3bp at 4.107.

• SOFR Options:
  • Block, +55,000 SFRU3 96.75/98.25 call spds vs. 27,500 OQU3 98.00 calls, 3.0 net package
  • Block, 5,000 SFRM3 95.37/95.75 call spds, 2.5 ref 95.025
  • Block, 5,000 SFRK3 95.18/95.43/95.68 call flys, 1.25 ref 95.02
  • Block, +5,000 SFRU3 95.50 straddles, 85.0 ref 95.40
  • Block/screen +20,000 SFRN3 97.00/98.00 call spds, 4.0
  • Block, +10,000 SFRN3 94.50/94.75 put spds, 1.5 ref 95.415
  • Block, 5,000 SFRV3 97.00/SFRZ3 97.50 call spds 2.5 net October over
  • Block, 5,000 SFRN3 95.12/95.37 2x1 put spds, 2.25 net ref 95.365
  • Block/screen, over +90,000 SFRN3 95.75/95.87 call spds 1.0 over 94.75/94.87 put spds, ref 95.36
  • Block/screen, 20,500 SFRZ3 94.68/94.93/95/18 put flys, 4.0 ref 95.81
  • 6,000 SFRU3 96.00/96.50 call spds, ref 95.37
  • Block, 4,000 SFRU3 94.50/94.75 put spds, 3.75 ref 95.315
  • Block/screen, 10,000 SFRK3 95.06/95.18 call spds,
  • Block, 2,750 SFRN3 94.12/94.62/94.87/95.12 put condors, 7.0 ref 95.35
  • Block/screen 11,750 SFRU3 98.25/98.75 call spds, 1.5 ref 95.43 to -.435
  • 3,000 SFRN3 95.00/95.25 put spds ref 95.365
  • 4,000 SFRU3 95.25/95.75/96.25 call flys ref 95.435
  • 2,000 OQM 96.93/97.18 call spds vs. 2QM3 97.62/97.87 call spds
• Treasury Options:
  • +10,000 FVM3 109.5/110.75 put spds, 30.5
  • +5,000 TYN3 112.5 puts, 10 ref 116-20
  • 2,300 TYN3 114 puts, 23 ref 117-05.5
  • 5,000 FVN3 110 puts, 31 ref 111-10
  • 1,700 TYM3 116.5/117.5/118.25 call trees ref 116-11