Late SOFR/Treasury Option Roundup

SOFR and Treasury option trade remained mixed Wednesday, repositioning after underlying futures broke narrow overnight range earlier. Projected rate cut pricing regained some traction: May 2024 at -15.0bp from -13.9% this morning w/ cumulative -3.7bp at 5.291%; June 2024 -63.1% w/ cumulative rate cut -19.5bp at 5.134%. July'24 cumulative at -30.06bp vs. -29.6bp, Sep'24 cumulative -49.3bp from -48.6bp.

• SOFR Options:
  • +10,000 SFRU4 94.62 puts, 1.25 ref 95.18
  • +5,000 SRZ4 94.75/95.25 strangles, 47.0 vs. 95.50/0.56%
  • +5,000 SFRN4 95.50 puts, 0.50 ref 95.17
  • -4,000 SFRU4 95.25/95.50 call spds vs. 12,000 SFRU4 94.50/94.75 put spds, 0.5 net ref 95.175
  • +10,000 SFRZ4 95.00/95.25/95.50/95.62 broken put condors 0.0-0.25
  • +2,000 SFRU4 95.50/96.00 call spds, 4.0
  • +2,000 SFRJ4 95.12/95.37 call spds, 0.25
  • -2,000 SFRZ6 96.50 calls 65.0 vs. 96.40/0.40%
  • Block, 5,000 SFRZ4 95.18/95.50 put spds 5.0 over SFRZ4 96.00/97.25 call spds
  • 3,400 SFRM4 95.12/95.25 put spds ref 94.89
  • Block, 3,000 0QJ4 96.06 calls, 6.5 ref 95.96
  • Block 3,000 SFRM4 94.81/0QM4 96.31 call spds, 1.5
  • 5,000 SFRZ4 95.18/95.31 put spds vs. 2,500 SFRZ4 96.00/97.25 call spds
  • 4,000 SFRK4 94.68/94.75 put spds ref 94.885
  • 3,000 3QK4 96.50 calls ref 96.36
• Treasury Options:
  • 8,000 TYK4 109/109.5 1x2 put spreads (wrong way) ref 1134:57ET
  • 2,500 TYK4 111/113 call spds vs. TYK4 108.5 puts, 24 net/call spd over
  • 1,900 FVK4 105/106 put spds
  • 2,500 TUK4 102.12/102.25/102.37 call flys ref 102-09.25