Late SOFR/Treasury Option Roundup

Focus on June rate cut hedging continued Friday after Paper bought over +39,250 SFRM4 95.00/95.25/95.50 call flys at 3.0 -- Jun'24 SOFR options expire two days after the FOMC policy annc on June 12. Friday's FI rally buoyed mid-year projected rate cut pricing: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -24.8% vs. -18.4% late Thursday w/ cumulative -7.6bp at 5.255%; June 2024 -67.9% from -56.4% late Thursday is nearing first full 25bp cut w/ cumulative cut -24.5bp at 5.086%. July'24 cumulative meanwhile has risen to -40.4bp at 4.927%. Salient SOFR and Treasury option trades include:

• SOFR Options:
  • Block, +39,250 SFRM4 95.00/95.25/95.50 call flys, 3.0
  • Block, 5,000 SFRM4 94.81/94.93 put spds 1.5 over SFRU4 94.87/95.00 put spds
  • -3,000 0QM4 96.37 straddles, 62.0
  • +5,000 SRZ4 95.75/96.00/96.25/96.50 call condors, 3.5
  • -5,000 SRZ4 95.25 puts, 24.5 vs. 95.565/0.38%
  • +4,000 SRM4 94.62/94.68/94.75/94.81 put condor 1.5
  • -10,000 SRJ4 95.25/95.50/96.00 call flys .5 ref 94.93
  • +3,000 SRU4 94.50/94.62/94.75/94.87 put condor 2.25 ref 95.19
  • -4,000 SFRH4 94.81/94.93 call spds, .25
  • +4,000 SFRJ4 95.00/95.12/95.25 call flys, 1.25
  • Block, 3,985 SFRK4 94.68/94.81/94.93 put flys, 2.5 ref 94.89
  • Block, 2,500 SFRH4 94.75 calls, 1.25 ref 94.685, more on screen
  • 3,000 SFRJ4 94.87 puts
  • Block, 2,500 SFRM4 94.87/94.93/95.00/95.06 put condors, 1.5 ref 94.89
• Treasury Options:
  • Block, +7,500 TYK4 116 calls, 7 vs. 111-00
  • Block, 10,000 TYK4 116 calls, 7 vs. 111-01.5/0.05%
  • 3,000 FVJ4 107.25 calls, 30 ref 107-03.25
  • over 6,700 wk1 TY 111 calls, 4 ref 110-21 (expire today)
  • 1,600 FVJ4 105.5/108.5 strangles ref 106-30
  • 3,000 FVJ4 107.5 calls ref 106-30.25