Late SOFR/Treasury Option Roundup

With few exceptions, SOFR option trade continued to revolve around upside call positioning for rate cuts in the latte half of the year. Lighter Treasury option volumes favored puts in 5s and 10s.

• Projected rate cut pricing looking steady to mildly higher at midyear vs. this morning's read: March 2024 chance of 25bp rate cut currently -2.7% w/ cumulative of -0.07bp at 5.322%; May 2024 steady at -18.4% w/ cumulative -5.3bp at 5.276%; June 2024 -55.5% from -54.5% earlier w/ cumulative cut -19.2bp at 5.137%. First full cut priced in at July w/cumulative -33.4bp at 4.995%. Fed terminal at 5.327% in Mar'24.
• SOFR Options:
  • Block, 5,000 SFRM4 95.75/95.87 call spds, 0.5 vs. 94.91/0.05%
  • Block, 5,000 SFRM4 95.75/96.00 call spds, 0.5
  • Block, +30,000 SFRJ 94.56/94.81 put spds, 4.5 ref 94.89
  • +3,000 SFRM4 95.50 calls, 3.25
  • -7,000 0QH4 95.75 puts, 12.5 vs. 95.76/0.50%
  • +2,000 SFRZ4 96.00/96.50/97.00 call flys, 4.0
  • Block, 6,000 SFRH4 94.62 puts, 0.5 ref 94.6825
  • 2,500 0QH4 96.12/96.25 2x3 call spds ref 95.75 to -.745
  • 2,500 SFRM4 95.25/95.50/95.75/96.50 1x3x4x3 broken call condor ref 94.87
  • +5,750 SFRZ4 95.50/95.18 put spds 3x vs SFRZ4 96.00/96.75 call spds 1x 36.0 net db
  • +5,000 SFRJ4 94.75/94.87/94.93/95.18 call condor 2.5
• Treasury Options:
  • -3,000 TYM4 110 straddles, 259
  • over 13,800 TYJ4 108 puts, 10 ref 110-05 to -05.5
  • 5,000 TYM4 114 calls, 21 ref 110-05.5
  • 8,800 FVM4 104 puts ref 106-25.75
  • -5,000 TYM4 108 puts 44
  • -5,000 TYJ4 110/111 strangles 108