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Late SOFR/Treasury Option Roundup

US TSYS

Heavy SOFR option volume reported Thursday, particularly in March as accounts adjust positions following yesterday's steady FOMC rate annc as projections continue to see-saw. Dealer calls: Barclays and GS both push first rate cut to May from Mar, GS still est's 5 cuts in 2024.

  • Projected rate cut chances moderated after surging higher at midday: March 2024 chance of 25bp rate cut currently -39.7% vs. -45.5% w/ cumulative of -9.9bp at 5.220%, May 2024 at -97% vs. -98.2% w/ cumulative -34.2bp at 4.977%, while June 2024 slips to 113% vs. 116.6% w/ cumulative -62.2bp at 4.697%. Fed terminal at 5.3125% in Feb'24. Highlight trades:
  • SOFR Options:
    • 7,700 SFRU4 96.75 puts vs. 96.87/98.00 2x1 call spds
    • over 10,000 SFRH4 94.68/94.75/94.81 put flys, 2.25 ref 94.89
    • Blocks, -17,500 SFRH4 94.75 puts vs. 95.00/95.12 call spds, .25 Blocked earlier at 0.0 vs. 94.87/0.30%
    • Blocks, total 18,000 SFRG4/SFRH4 94.93/95.06 1x2 call spd strip, 3.5 total
    • Block, -10,000 SFRH4 95.50/96.00 call spds .25 ref 94.88 to -.885
  • Treasury Options:
    • Block, 10,000 Wednesday weekly 30Y 121.5/123 put spds, 20 vs. 124-06/0.18% expire Feb 7)
    • Block, 10,000 TYH4 114.5 calls, 17 ref 112-2.5
    • 25,000 TYH4 111.5/112.5 2x1 put spds 2 ref 112-30
    • Block, 8,000 TYM4 111 puts, 47 vs. 112-24.5/0.28%
    • 10,000 TYH4 112.5/113.75 call spds 32 ref 112-23.5
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