Late SOFR/Treasury Option Roundup

SOFR and Treasury options saw a mix of trades including put unwinds and call positioning after the February employment data -- mixed reaction to this morning's February employment data, trading lower on the higher than expected jobs gain of 275k vs. 200k est. but reversed course as markets digested the large down revisions to January (229k from 335k, private to 177k from 317k).

• Projected rate cut pricing hold steady, off early rally highs: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -22.7% vs. -24.8% this morning w/ cumulative -6.3bp at 5.266%; June 2024 -65.4% from -68% earlier w/ cumulative cut -22.6bp at 5.102%. July'24 cumulative -39.1bp at 4.938%.
• SOFR Options:
  • +4,000 SRJ4 94.93/95.06 put spread 1x2 2.75 ref 9497
  • +4,000 SRJ4 94.62/94.81/95.00 put flys 2.5 ref 9497.5
  • +10,000 SFRU4 95.00/95.25/95.50/95.75 call condors vs. 94.62/94.87 put spds, 4.5-4.75 net/condor over
  • Block, 6,000 0QH4 96.12 calls, 4.0 ref 95.92
  • 4,600 0QH4 95.62/95.87/96.00/96.12 put condors ref 95.935
  • 6,250 SFRM4 95.00 calls ref 94.965
  • Block, 6,500 SFRM5 96.50 risk reversals, 41.25 vs. 96.07/100%
  • 1,000 SFRH4 94.68/94.81/94.93 put flys
• Treasury Options:
  • 10,000 Wed weekly 110.75/111.5 2x1 put spds, 9
  • 3,000 USM4 132/133/134/135 call condor ref 121-17
  • -20,000 Wed weekly 10Y 111 puts, 5 ref 112-01.5, total volume over 48,000
  • 15,000 TYJ4 109/110 put spds, 30 ref 111-29
  • over 5,000 TYJ4 110/111 put spds ref 111-28
  • +9,000 TYK4 113 calls, 39-40
  • +7,000 TYJ4 110/111 put spds, 14
  • -5,500 TYM4 114 calls, 36
  • 2,000 TYM4 111/113 call spds ref 111-25
  • 2,500 TYJ4 110/111.25 put spds vs. wk3 TY 112.25 calls
  • 2,100 FVJ4 106.75/108.75 risk reversals ref 107-23.75
  • 2,250 TYJ4 108.5/109.5/110.5 put flys, ref 111-24.5
  • 3,000 wk3 TY 110.25/111 put spds, 10 ref 111-24, expire next Fri
  • +8,700 Wed weekly 10Y 110.25/111 3x2 put spds, 14 ref 111-25.5, expire next Wed