Free Trial

Late SOFR/Treasury Option Roundup

US TSYS

Mixed SOFR and Treasury option flow segued to better call volume Wednesday as underlying futures bounced off lows. Initially on the the back of lower than expected ADP private employment data and Federal Reserve Chairman Powell's testimony to congress deemed less hawkish than it could have been.

  • In turn, projected rate cut pricing gained slightly on the day: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -20.7% w/ cumulative -5.7bp at 5.271%; June 2024 -63.2% from -61.8% earlier w/ cumulative cut -21.8bp at 5.113%. July'24 cumulative -36.1bp at 4.970%.
  • SOFR Options:
    • +12,000 0QH4 96.00/96.25 call spds 5.25 ref 95.90
    • +8,500 SFRZ4 95.25/95.50/95.75/96.25 broken call condors, 0.25
    • +2,000 SFRN4 95.25 straddles, 45.5 ref 95.24
    • -5,000 SFRJ4 95.37/95.75 call spds, 0.75 ref 94.925
    • -3,000 SFRU4 95.75/96.75 call spds 8.25, ref 95.24
    • -3,000 SFRH4 94.62/94.68/94.75/94.81 put condors 4.75 ref 94.69
    • +5,000 0QK4 95.62/96.25 call over risk reversals, 3.0 vs. 96.15/0.42%
    • +5,000 SFRM4 94.68/94.81 2x1 put spds 1.75 ref 94.935
    • +3,000 2QH4 96.50 straddles, 20.25, still bid
    • Block, 8,000 SFRK4 94.75/94.81/94.87/94.93 put condors, 1.5 ref 94.93
    • 2,000 SFRH4 94.75/94.87 2x1 put spds ref 94.6925
    • 6,000 SFRJ4 95.00/95.12 call spds ref 94.93
    • 8,000 SFRK4 94.75/94.81/94.87/94.93 put condors ref 94.93
    • 2,000 SFRM5 97.75/98.25 call spds ref 96.105
    • 2,000 SFRM4 94.68/94.81 2x1 put spds
    • 2,000 0QH4 96.06/96.18 call spds ref 95.86
  • Treasury Options:
    • -10,000 TYJ4 110/113 call over risk reversals, 2 vs. 111-19/0.37%
    • 12,000 TYM4 118/119/120/121 call condors
    • 1,000 USJ4 116/117/119 broken put flys
    • -15,000 TYJ4/TYM4 112 call spds, 46 ref 111-16 to -15, Jun sold over
    • 5,000 USJ4 112/114/116/118 put condors, 6 ref 121-03
    • 5,600 TYM4 109 puts, 34 ref 111-16.5
    • 3,600 TYJ4 110.25/111.5 strangles, 57 ref 111-08.5
    • over 9,800 FVJ4 106.75 puts ref 107-13.25
    • 1,700 TYJ4 111.25 calls, 43 ref 111-03
268 words

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.

Mixed SOFR and Treasury option flow segued to better call volume Wednesday as underlying futures bounced off lows. Initially on the the back of lower than expected ADP private employment data and Federal Reserve Chairman Powell's testimony to congress deemed less hawkish than it could have been.

  • In turn, projected rate cut pricing gained slightly on the day: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -20.7% w/ cumulative -5.7bp at 5.271%; June 2024 -63.2% from -61.8% earlier w/ cumulative cut -21.8bp at 5.113%. July'24 cumulative -36.1bp at 4.970%.
  • SOFR Options:
    • +12,000 0QH4 96.00/96.25 call spds 5.25 ref 95.90
    • +8,500 SFRZ4 95.25/95.50/95.75/96.25 broken call condors, 0.25
    • +2,000 SFRN4 95.25 straddles, 45.5 ref 95.24
    • -5,000 SFRJ4 95.37/95.75 call spds, 0.75 ref 94.925
    • -3,000 SFRU4 95.75/96.75 call spds 8.25, ref 95.24
    • -3,000 SFRH4 94.62/94.68/94.75/94.81 put condors 4.75 ref 94.69
    • +5,000 0QK4 95.62/96.25 call over risk reversals, 3.0 vs. 96.15/0.42%
    • +5,000 SFRM4 94.68/94.81 2x1 put spds 1.75 ref 94.935
    • +3,000 2QH4 96.50 straddles, 20.25, still bid
    • Block, 8,000 SFRK4 94.75/94.81/94.87/94.93 put condors, 1.5 ref 94.93
    • 2,000 SFRH4 94.75/94.87 2x1 put spds ref 94.6925
    • 6,000 SFRJ4 95.00/95.12 call spds ref 94.93
    • 8,000 SFRK4 94.75/94.81/94.87/94.93 put condors ref 94.93
    • 2,000 SFRM5 97.75/98.25 call spds ref 96.105
    • 2,000 SFRM4 94.68/94.81 2x1 put spds
    • 2,000 0QH4 96.06/96.18 call spds ref 95.86
  • Treasury Options:
    • -10,000 TYJ4 110/113 call over risk reversals, 2 vs. 111-19/0.37%
    • 12,000 TYM4 118/119/120/121 call condors
    • 1,000 USJ4 116/117/119 broken put flys
    • -15,000 TYJ4/TYM4 112 call spds, 46 ref 111-16 to -15, Jun sold over
    • 5,000 USJ4 112/114/116/118 put condors, 6 ref 121-03
    • 5,600 TYM4 109 puts, 34 ref 111-16.5
    • 3,600 TYJ4 110.25/111.5 strangles, 57 ref 111-08.5
    • over 9,800 FVJ4 106.75 puts ref 107-13.25
    • 1,700 TYJ4 111.25 calls, 43 ref 111-03