Late SOFR/Treasury Option Roundup

SOFR and Tsy option flow remained mixed but leaned toward low delta put structures Thursday as underlying futures continued to extend lows: TYH4 at 110-23 (-15) still above Monday low of 110-2.5. Projected rate cut pricing consolidates vs. late Wednesday lvls: March 2024 chance of 25bp rate cut currently -21.2% w/ cumulative of -5.3bp at 5.271%, May 2024 at -53.1% vs. -61.2% late Wednesday w/ cumulative -18.6bp at 5.138%, while June 2024 -89.3% vs. -90% (105% pre-NFP for comparison) w/ cumulative -40.9bp at 4.915%. Fed terminal at 5.325% in Feb'24.

• SOFR Options:
  • Block 18,000 SFRJ4 94.62/94.93 put spds 3.75 vs. SFRM4 94.68/94.87 put spds 4.5
  • Block, 10,000 SFRM4 95.12/95.25 call spds, 4.5 vs. 95.155/0.10, more on screen
  • Block, 1,875 SFRU4 95.25/95.37 5x4 put spds, 6.0 net ref 95.535
  • Block, 5,000 SFRH4 94.81/94.87 call spds 1.0 ref 94.785
  • 4,000 SFRM4 94.87/95.00 put spds ref 95.16
  • 4,000 0QH4 96.00/3QH4 96.37 put spds
  • 3,000 SFRH4 95.00/95.06/95.12 call flys ref 94.79
  • 2,000 SFRU4 95.50/95.62 call spds vs. 94.93/95.06 put spds ref 95.545
  • 4,000 SFRK4 95.18/95.31/95.43 call flys ref 95.165
  • over 25,800 SFRH4 94.75 puts, 3.5 last tied to 94.68/94.75/94.68 ratio put fly
  • Block, 5,000 SFRU4 95.68/96.00 call spds 1.0 over 94.87/95.12 put spd ref 95.56
  • 4,000 SFRH4 94.75 puts ref 94.785
• Treasury Options:
  • 35,000 TYH4 109.25/110.25/111.25 put flys
  • 1,200 FVH4 109.75/FVJ4 109.25/FVK4 110.5/FVM4 110 call condor, Mar/Jun bought vs. Apr/May
  • 3,000 USH4 116/118 put spds 17 ref 120-01
  • 5,000 FVH4 110.25 calls ref 107-13.75
  • Block, 8,000 TYH4 110/110.25/110.75 put trees, 1 net - 2 legs over vs. 111-05/0.10%
  • 1,000 TYH4 109/110 3x2 put spds , 12 ref 111-05.5
  • 5,000 wk1 10Y 109.5/110.5 put spds ref 111-20.5 (expire March 1)
  • 1,000 FVH4 106.75/107 put spds ref 107-16.25