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Late SOFR/Treasury Option Roundup

US TSYS
  • Mixed SOFR and Treasury option trade revolved around better downside (read hedging less dovish Fed hedging) prior to the steady FOMC rate announcement. Large legacy upside call positions remain open, however, nicely hedging the post-FOMC rally and steeper curves as underlying surged on the Fed's 3 rate cut projections in 2024.
  • Market rate cut pricing inched higher: May 2024 at -14.5% vs -10.3% earlier w/ cumulative -3.6bp at 5.291%; June 2024 -66.7 vs. -59.6% earlier w/ cumulative cut -20.3bp at 5.125%. July'24 cumulative -32.5bp vs. -28.2bp at 5.003%.
  • SOFR Options:
    • Block, +10,000 SFRJ4 94.81/95.06 call spds, 9.5
    • Block, 5,000 SFRK4/SFRM4 94.93/95.00 call spd spd, 0.75 net/June over
    • Block, +5,000 0QZ4 94.50/95.50 put spds, 14.5 ref 96.175
    • +20,000 SFRM4 94.62/94.75/94.81 put trees vs. SFRM4 94.93/95.00 call spds, 0.75 net
    • +10,000 SFRM4 94.75/94.87/95.06/95.18 call condors, 5.75
    • Block -5,500 SFRM4 94.68/94.81 put spds 5.0 ref 94.86
    • -4,000 SFRM4 94.75/94.87/95.00/95.12 call condors, 5.25 ref 94.86
    • +2,500 0QM4 96.06/96.43 call spds vs. 2QM4 96.37/96.62 call spds, 2.25 net
    • +7,500 SFRM4 95.00/95.62 call spds, 3.0 vs. 94.87/0.20%
    • +4,000 0QK4 96.25/96.43/96.62 call flys, 1.5 ref 95.895
    • +3,000 SFRM4 94.75/94.87 put spds 2.0 over SFRM4 94.87/95.00 call spds
    • +1,500 0QU4 96.06 straddles, 71.5
    • +2,000 SFRU4 95.12 straddles, 41.5
    • 2,500 SFRU4 95.06/95.18/95.50/95.62 call condors ref 95.125
    • Block, 4,000 SFRM4 94.87/95.00/95.12 put flys, 2.75 ref 94.86
    • +3,000 SFRM4 94.87/95.00/95.12 put flys, 3.0 ref 94.86
    • 1,000 SFRM4 94.81/94.93/95.06 call flys ref 94.86
    • 2,250 SFRM4 94.75 puts ref 94.86
    • 2,500 SFRZ4 94.50/94.62 2x1 put spds, ref 95.425
    • 2,000 SFRU4 95.12 puts ref 95.125
  • Treasury Options:
    • 2,000 TYJ4 109/109.5/110 2x3x1 put flys, 1 ref 110-07
    • 2,100 TYJ4 109/109.25 put spds, 1
    • 6,500 FVK4 106.75/107.5/108 call flys
    • 5,000 TYK4 107.5/109 put spds, 19 ref 110-05
    • +30,000 Wk 4 Wednesday 109.25/109.5/110 put trees, 3
    • 6,000 TUK4 102.25/102.75 1x2 call spds ref 102-06
    • +11,000 Wed wkly 10Y 110.5/110.75 call spds, 3-3.5 ref 110-05.5
    • 10,500 TYK4 110.5/111.5 1x2 call spds ref 110-08.5 to -09
    • 1,300 TYK4 111/113 call spds vs. TYK4 108 puts, ref 110-08.5
    • 2,000 FVJ4 106.75/107.25/107.5 broken call trees ref 106-21.5
    • 2,000 wk4 FV/FVJ4 107 call spds
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