Late SOFR/Treasury Option Roundup

SOFR option volumes remained robust Thursday. Call structure/rate cut positioning continued while some late put structures were reported, fading the late session rally as projected rate cuts for early 2024 gained slightly: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -68.8% vs. -64.0% late Wednesday w/ cumulative of -17.8bp at 5.150%, May 2024 chance of cut 99.3% vs. 90.9% late Wednesday, cumulative -42.9bp at 4.900%. June 2024 back to fully pricing in the first 25bp cut w/ cumulative -69.4bp at 4.635%. Fed terminal at 5.3275% in Jan'24.

• SOFR Options: Reminder, January options expire tomorrow
  • 12,000 SFRM4 94.75/95.00 2x1 put spds ref 95.44
  • 6,000 SFRH4 94.31/94.43/94.56/94.68 put condors
  • +5,000 SFRH4 94.62/94.68/94.75/94.81 put condors, 1.75
  • Block, 6,000 0QF4 96.12/96.25 put spds, 1.0 ref 96.40
  • 3,100 0QK4 96.87/97.37/97.87 call flys ref 96.415
  • 2,500 SFRM4 95.62/96.12/96.50 call flys
  • 8,000 SFRU4 95.75/95.87 call spds vs. 95.18/95.31 put spds
  • Block, 4,000 0QG 96.37/96.62 call spds 9.0 over 0QG4 95.37/95.62 put spds
  • Block, +35,000 0QG 96.50/96.75 call spds 6.5 over 0QG4 95.50/95.75 put spds vs. SFRH5 96.41/0.20%
  • 16,000 SFRG4 95.00/95.06 call spds ref 94.93
  • 16,000 SFRF4 94.93/95.00 1x2 call spds ref 94.93
  • Blocks, +17,000 SFRH4 95.06/95.12 call spds ref 94.93
  • 2,500 SFRM4 95.62/95.87 call spds ref 95.37
  • 2,500 SFRU4 97.00/98.00 2x3 call spds ref 95.745
  • 2,000 SFRJ4 95.75/96.25 call spds ref 95.36
  • 2,000 SFRJ4 95.37/95.62/95.87 call trees
• Treasury Options:
  • 2,500 FVG4 108.5 calls, 20 ref 108-12.75
  • -10,000 TYG4/TYH4 110.5 put calendar spreads, 22 ref 111-27.5/0.14%
  • 2,500 TYG4 111/112.5 call spds over TYG4 110/111 put spds