Late SOFR/Treasury Option Roundup

SOFR and Treasury option flow remained mixed Friday, call interest carried over from the prior session as some accounts continued to fade the decline in the latest rate cut projections. Projected rate cut pricing hold steady for the next couple meetings while June is off this morning's lows: March 2024 chance of 25bp rate cut currently -2.0% w/ cumulative of -0.5bp at 5.324%; May 2024 at -21.2% w/ cumulative -5.8bp at 5.271%; June 2024 -62.6% vs. -55.4% earlier w/ cumulative cut -21.4bp at 5.132%. Fed terminal at 5.33% in Feb'24.

• SOFR Options:
  • Block, 5,000 SFRJ4 95.06/95.18/96.25 broken call trees, 1.0 net vs. 94.88/0.07%
  • -7,500 SRZ4 96.87/97.50/97.75/98.00 call condor 4.0 vs. 95.50/0.05%
  • +5,000 SRQ4 94.37/94.62 put spds 3.0 ref 95.20
  • +10,000 SRM4 94.87 calls vs. 0QM4 96.50 calls 2.0
  • -5,000 0QM4 96.75/97.00 call spds 3.5 vs. 96.02/0.05%
  • -5,000 SRM4 95.00/95.12/95.25 call flys, 0.5 ref 94.90
  • +25,000 SFRJ4 95.25/95.75 call spds, 1.75 ref 94.91/0.10%
  • +10,000 SFRM4 95.00/95.12/95.25 call flys, 0.5
  • +20,000 SFRZ4 94.00/94.12/94.37/94.50 put condors 1.0
  • 3,000 SFRH4 94.68/94.81/94.87/94.93 put condors
  • 2,000 SFRZ4 93.75/94.50 3x2 put spds ref 95.48
  • 3,000 SFRZ4 96.00/96.50/96.87 broken call flysref 95.48
  • 5,000 SFRZ4 96.00/96.25 call spds ref 95.475
  • 8,000 0QJ4 95.50 puts ref 95.955
  • 2,000 SFRJ4 94.87/95.12 put spds vs. 95.50/95.75 call spds
  • 3,500 0QH4 96.12/96.25 call spds vs. 3QH4 96.50/96.62 call spds
  • 1,500 SFRH4 94.25/94.37 put spds vs. 94.62/94.75 call spds ref 94.69
  • 2,000 0QH4 96.00/96.12/96.31/96.43 put condors ref 95.73
  • 2,000 0QM4 96.50/97.25 call spds vs. 3QM4 96.75 call
  • 2,000 SFRZ4 94.87/95.12 put spds vs. 95.50/95.75 call spd ref 95.475
• Treasury Options: Reminder, March options expire today
  • 5,000 TYM4 117/118/119/120 call condors
  • Block, 7,500 TYJ4 108.5/110 put spds, 34 vs. 110-00/0.24%