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Late SOFR/Treasury Option Roundup

US TSYS
Better upside call structures reported in SOFR and Treasury options Monday, with one exception: large buy of 10Y weekly midcurve put that covers this Wednesday's FOMC.. Underlying futures extending highs on the close after the US Tsy reduced Q1 borrow estimates to $760B from $816B. Focus on Wed's FOMC, no action expected from the Fed Wednesday, but dealer estimates of when and how much are varied (GS: 25bp cut in March, 5 total cuts in 2024 to 4.25%; DB 3.75% by year end, UBS 2.75% year end; flipside: Santander est's 50bp by year end to 5%).
  • Projected rate cuts in H1 2024 steady to mixed: January 2024 cumulative -.5bp at 5.324%, March 2024 chance of 25bp rate cut -46.5% vs. -50.3 this morning w/ cumulative of -12.1bp at 5.198%, May 2024 at -82.7% vs -80.8% earlier w/ cumulative -32.8bp at 5.001%, June 2024 -99.1% vs. -95.4% earlier w/ cumulative -57.6bp at 4.753%. Fed terminal at 5.325% in Feb'24. Salient trade:
  • SOFR Options:
    • +10,000 SFRH4 95.12/95.25 call spds .25 vs. 94.85/0.05%
    • +5,000 SFRH4 94.93/95.06 1x2 call spds, 1.5
    • over -15,700 SFRM4 95.00/95.18 call spds ref 95.305
    • 3,000 SFRH4 94.87/94.93/95.00 call flys ref 94.885
    • 4,000 2QG4 96.50/96.25 put spds vs. 96.87 calls ref 96.655 to -.66
    • Block, 3,000 SFRH4 94.87/95.00 call spds, 4.75
    • Block, 5,000 SFRU4 97.50/98.00 1x2 call spds, -1.25/splits
  • Treasury Options:
    • +80,000 wk1 TY 110/110.75 put spds, 9 ref 111-12.5 (expires Friday)
    • 3,000 TYH4 114/114.5/115/115.5 call condors ref 111-14 to -14.5
    • 2,000 TYH4 111.5/112/112.5/113 call condors, 7 ref 111-14
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