Late SOFR/Treasury Option Roundup

Mixed at times, SOFR and Treasury option flow still favored low delta puts and put structures Friday - ongoing theme this week as accts hold to the post-CPI mindset of significantly delayed rate cuts as the Fed waits for sign inflation is at bay.
Smart money as Treasury futures gapped lower after higher than expected PPI this morning while projected rate cut pricing continues to wane: March 2024 chance of 25bp rate cut currently -11.6% vs -14.4% late Thursday w/ cumulative of -2.9bp at 5.300%; May 2024 at -25.8% vs. -31.2% late Thursday w/ cumulative -9.3bp at 5.235%; June 2024 -61.5% vs. -68.5% late Thursday w/ cumulative cut -24.7bp at 5.082%. Fed terminal at 5.33% in Feb'24. Highlight second half trade:

• SOFR Options:
  • +5,000 SRH4 94.68/94.75/94.81 3x5x2 put fly from 1.5-2 ref 94.71
  • +10,000 SRN4/SRU4 94.75/95.00 put spread spread 1.25
  • Block, +10,000 SFRJ4 94.75/94.87/95.12/95.25 put condors, 6.0 ref 94.93
  • Block, +5,000 SFRJ4 94.68/94.81/94.93 put flys, 3.25 ref 94.945
  • -20,000 SRU4 94.75/95.00 2x1 put spreads .25 ref 9526.5
  • +8,000 SRM4 95.12/95.25/95.50/95.62 call condor vs 94.62 puts 2.5
  • Block, -10,000 SFRM5 96.25/97.00/98.75/99.50 call condors, 12.5 net
• Treasury Options: Reminder, March options expire next week Friday
  • +40,000 TYJ 106 puts, 5 ref
  • Update, over 10,000 TYH 109.5/111/112.5 put flys ref 109-19.5 to -30
  • +10,000 TYH4 109.25 puts 10 ref 109-25 (expire next Friday
  • +10,000 TYJ4 107.5/108.5 put spds, 11 ref 110-12.5
  • +7,000 wk3 FV 106.25 puts, 2
  • 20,000 TYJ4 107.5/108/108.5 put flys ref 110-15 to -14.5