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Free AccessLate SOFR/Treasury Option Roundup
Puts return after Monday's one-way call interest.
Decent overnight option volumes continued through the NY session, more paired as put interest returned following Monday's more one-sided call structure/rate cut positioning. Underlying futures remain mildly weaker after the bell, near session highs after another quiet data session, markets in holding pattern ahead CPI/PPI on Thursday/Friday. Projected rate cuts for early 2024 recovered slightly after unwinding Mon's gains: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -62.0% vs. -57.2% this morning w/ cumulative of -16.6bp at 5.163%, May 2024 chance of cut 86.8% vs. 85.6% this morning, cumulative -38.3bp at 4.946%. Fed terminal at 5.3275% in Jan'24.
- SOFR Options: Reminder, Jan options, including midcurves, expire Friday
- +4,000 SFRZ4 98.00/99.00 1x2 call spds 1.75
- +5,000 SFRU4 95.75/95.87 call spds 1.5 over SFRU4 94.62 puts vs. 95.735/0.14%
- +20,000 SFRH4 95.06/95.12 call spds, 0.75
- -7,000 SFRJ4 95.00/95.75 call spds, 5.25
- over +20,000 SFRH4 94.68/94.81/94.93/95.00 broken put condors
- Block, 13,300 SFRU5 94.50/95.00 2x1 put spds, 4.0 net ref 95.718
- +5,000 SFRM5 96.75/97.12 call spds 2.5 over SFRM5 94.87 puts
- Block +15,000 0QF4 96.12/96.25 put spreads, 2.25
- +8,000 2QJ4 96.00 puts, 5.5
- Block, 2,500 SFRM4 95.25/95.75/96.25 call flys, 9.0 ref 95.335
- Block, 6,000 94.93/95.18/95.50/95.62 broken put condors, .25
- 5,200 0QH4 96.12/96.75 2x3 call spds ref 96.355
- 4,000 SFRH4 95.00/95.12/95.25/95.37 call condors ref 94.905
- 5,200 SFRZ4 94.75/95.75 2x1 put spds
- 2,000 SFRM4 95.50/96.00 call spds vs. SFRMf 94.50/94.75 put spds ref 95.32
- 8,000 SFRM4 95.50/95.87 call spds vs. SFRM4 94.62/94.87 put spds ref 95.325
- 30,000 SFRG4 94.75/94.87/94.93/95.00 broken put condors
- 2,000 SFRG4 95.00/95.12 call spds vs. 0QH4 96.56/96.68 call spds
- over 8,700 SFRM4 95.50 calls ref 95.315/0.38%
- 15,000 SFRH4 94.87/95.00/95.12 call flys ref 94.90 to -.905
- 2,000 SFRM4 94.93/95.18/95.50/95.62 broken put condors ref 95.315
- 6,000 SFRH4 94.75/94.87/94.93/95.00 broken put condors ref 94.905 to -.90
- 4,000 SFRM4 94.62/95.00/95.37/95.50 broken put condors ref 95.32
- 4,000 SFRM4 94.50/95.00/95.37/95.50 broken put condors ref 95.33 to -.325
- Treasury Options:
- 1,100 USH4 118 puts vs. 132 calls on 1x2 ratio
- 2,500 wk2 TY 109/109.75/110.5 put trees vs. wk3 TY 109.25/109.75/110.25 put trees
To read the full story
Sign up now for free trial access to this content.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.