Late SOFR/Treasury Option Roundup

Better put volume reported on net in SOFR and Treasury options, SOFR leading on size and breadth of flow Monday. Underlying futures opened weaker and extended lows after stronger than expected ISM Services across all items, especially prices

• As a result, projected rate cut chances continued to retreat: March 2024 chance of 25bp rate cut currently -16.4% vs. -18.3% this morning w/ cumulative of -4.1bp at 5.283%, May 2024 at -56.2% vs. -57.1% w/ cumulative -19.1bp at 5.133%, while June 2024 -81.9% from -82.4% (105% pre-NFP for comparison) w/ cumulative -39.6bp at 4.930%. Fed terminal at 5.32% in Feb'24. Salient second half trade includes:
• SOFR Options:
  • Block, 10,000 SFRU4 94.87/95.00/95.12 put flys, 1.0
  • Block, 10,000 SFRU4 94.62/94.75 put spds, 1.75/splits
  • -15,000 SFRH4 94.75/94.87 put spds 9.25
  • Block, -10,000 SFRG4 94.68/94.93 strangles, 1.0 ref 94.78
  • Block, 10,000 SFRH5 95.00/95.62/96.25 put flys, 13.0 ref 96.19
  • Block, 5,000 SFRH4 96.50/97.50 call spds w/95.50/96.50 put spd, 70.5
  • +9,600 SFRK4 95.12/95.87 1x2 call spds, 4.5 vs 95.125/0.17%
  • 11,000 SFRM4 95.12/95.31/95.37/95.50 put condors ref 95.12
• Treasury Options:
  • 4,800 FVH4 108 puts, 60 ref 107-11.5
  • over 10,000 TYH4 109 puts, 4 last ref 111-05.5 to -06.5
  • 2,000 TYH4 109/110 3x2 put spds, 16 ref 111-07