Late SOFR/Treasury Option Roundup

Early mixed SOFR option trade segued to much better upside call structures Tuesday, fading mildly weaker underlying futures. Surprising few Tsy option volumes on the day. Projected rate cut pricing reversed early gains: March 2024 chance of 25bp rate cut currently -2.7% w/ cumulative of -0.07bp at 5.322%; May 2024 at -16.4% vs. -18.9% earlier w/ cumulative -4.8bp at 5.281%; June 2024 -52% from -56.9% earlier w/ cumulative cut -17.7bp at 5.151%. First full cut priced in at July w/cumulative -30.1bp at 5.028%. Fed terminal at 5.33% in Feb'24.

• SOFR Options:
  • +20,000 SFRU4 94.81/94.87/95.31/95.37 call condors 2.25 ref 95.16
  • -5,000 0QM4 96.62/96.87/97.00 call flys, 2.5 ref 9600
  • -8,000 SRJ4 94.75/94.87/95.00 iron flys, 9.5 ref 94.87
  • -5,000 SRZ4 96.25/96.87/97.50 call flys, 3.5 ref 9547.5
  • -5,000 SFRU4 95.00/95.12 put spreads, 6.5
  • Pit/screen/Block +40,000 SFRM4 95.25/95.50/95.75 call flys, 0.75
  • +2,000 SFRM4 94.75 puts, 7.5 ref 94.875/0.33%
  • -20,000 SFRJ4 94.62/94.75/94.87/95.00 call condors 6.75-6.50
  • Block, 10,000 SFRM4 93.5/94.00/94.5 put flys, 1.25 net vs. 94.905/0.08%
  • Block, 15,000 SFRM4 96.00/96.37 call spds, cab
  • +19,000 SFRM4 94.87 / 0QM4 96.50 call spds, 0.5
  • 3,500 SFRJ4 94.81 puts, ref 94.88
  • Block/screen, 20,000 SFRM4 95.00/95.25/95.50 call flys, 2.5-2.75
  • 6,750 SFRH4 94.68/94.75 call spds ref 94.6725
  • Block, +5,000 SFRU4 94.87/95.12 put spreads 5.0 over SFRZ4 96.25/96.75 call spds
  • Block, +5,000 SFRU4 94.93/95.06 put spreads 3.5 over SFRU4 95.50/95.62 call spds
  • 4,000 0QH4 95.87/96.12/96.25 1x3x2 call flys ref 95.76
  • 1,250 0QJ4 96.50/96.75 call spds vs. 2QM4 95.00/95.50/96.00 put fly
  • 2,000 SFRZ4 96.00/96.25 call spds vs. 2QZ4 97.00/97.25 call spd
  • 4,000 SFRM4 94.75 puts ref 94.875
  • 2,000 SFRZ4 97.50/98.00 call spds ref 95.48