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Late SOFR/Treasury Option Roundup

US TSYS

SOFR and Treasury options continued to favor low delta puts as markets returned from an extended holiday weekend Tuesday. Discounting the rebound in underlying futures back to Friday's pre-PPI levels, option accounts positioned for delayed rate cut expectations as the Fed waits stronger signs inflation is at bay. Projected rate cut pricing in late trade: March 2024 chance of 25bp rate cut currently -10.6% w/ cumulative of -2.6bp at 5.302%; May 2024 at -28.9% w/ cumulative -9.9bp at 5.230%; June 2024 -65% w/ cumulative cut -26.1bp at 5.068%. Highlight session trade:

  • SOFR Options:
    • -4,000 SFRM4 94.75/95.00 2x1 put spds 5.5 ref 94.995
    • -7,500 SFRM4 95.12/95.25/95.50/95.62c condors 1.75 vs. 94.97/0.05%
    • -10,000 SRZ4 94.87/95.12/95.56/95.81 Iron Condors 16.0 ref 95.66
    • +3,000 SFRM4 94.87 calls vs 0QM4 96.50 calls 3.0
    • +5,000 0QH4 95.75/96.00ps 2x1 put spds 3.75 ref 9593
    • +6,000 SFRU4 94.87/95.00 put spds 4.5 ref 9532.5
    • +5,000 SFRK4/SFRM4 95.06/95.18 call spd/spd 0.0
    • Block, +5,000 SFRH5 95.00/95.62/96.25 call flys, 13.0 ref 95.93
    • Block, 8,000 SFRH4 95.25 calls, .75 ref 94.715
    • Block, 12,500 SFRZ4 96.00/96.75/97.25 call flys, 10.0 ref 95.66
    • Block, +28,250 SFRU4 95.00 puts, 16.5-16.0 vs. 95.31/0.34, more on screen
    • Block, 2,500 SFRU4 95.75/96.25/96.75/97.50 call condor on 3x3x2x2 ratio, 16.0 net ref 95.325
  • Treasury Options:
    • +21,000 TYJ4 106.5 puts, 5
    • 5,000 USH4 117/117.5 put spds, 7 ref 118-15
    • 7,500 TYH4 109.25 puts, 4 ref 110-00
    • 2,100 TYJ4 111/113 call spds ref 110-14.5
    • 4,500 TYM4 110 puts, 123
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