Late SOFR/Treasury Option Roundup

SOFR options rotated around low delta put structures Monday as underlying futures traded weaker in the short end, projected rate cut pricing receded: March 2024 chance of 25bp rate cut currently -2.0% w/ cumulative of -0.5bp at 5.324%; May 2024 at -15.0% vs. -21.2% late Friday w/ cumulative -4.2bp at 5.286%; June 2024 -53.9% from -62.6% late Friday w/ cumulative cut -17.7bp at 5.152%. Fed terminal at 5.33% in Feb'24.

• SOFR Options
  • +10,000 SRU4 96.50/97.87 call spd vs 2QU4 97.37/97.75 call spd 1.75
  • Block, +20,000 SFRU4 94.62/94.87/95.00/95.25 put condors, 6.75
  • Block, +5,000 SFRM4 94.81/95.00 put spds 11.0 vs. 94.88/0.24%
  • +5,000 SRU4 94.50/94.75/95.00 put fly 5.0
  • -10,000 SFRJ4 94.68/94.87/95.37 put flys, 34.75 ref 94.88
  • Block, 5,000 SFRJ4 94.56/94.75/94.94 put flys, 7.0
  • Block, 5,000 SFRZ4 SFRZ4 94.87/95.12 put spds vs. SFRZ4 95.56/95.81 call spds 0.0
  • Block, 10,000 SFRJ4 95.06/95.18/96.25 call trees, 1.0 net ref 94.90 (adds to 5k on Friday)
  • Block, 5,000 SFRK4 94.81/94.93/95.06/95.25 call condors, cab
  • 5,000 0QM4 97.00 calls ref 96.045
  • Block, 2,500 SFRM4 95.25/0QM4 97.00 1x2 call spds, 6.0 vs.
  • Block, 2,500 SFRU4 95.68/95.75/96.75 1x1x1 call flys, 9.5
  • +5,000 SFRK4 94.81/94.93/95.06/95.25 call condor 3.25
  • +5,000 2QU4 97.00/97.375 call spd, 6.75/splits
• Treasury Options:
  • +5,000 TY Wk1 111.25 calls 8
  • +5,000 TY Wk1 109.5/111.25 call over risk reversal, 5
  • +5,000 TY Wk2 109.25/109.75/110.25 put tree, 1
  • +3,000 TYJ4 110.5/111.5 call spd v 109.5 put, 2