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Late SOFR/Treasury Option Roundup

US TSYS

Modest option volumes on Thursday's shortened pre-Easter holiday session (Friday closed, US markets resume Monday). Option trade tended toward puts as short end rates remained under pressure after Fed Gov Waller's hawkish rate comments late Wednesday. Projected rate cut pricing retreats (post-Waller): May 2024 at -9.8bp from -15% late Wednesday w/ cumulative -2.5bp at 5.302%; June 2024 -56.9% vs. -63.1% w/ cumulative rate cut -16.7bp at 5.159%. July'24 cumulative at -26.4bp vs. -30.06bp, Sep'24 cumulative -43.9bp from -49.3bp.

    • SOFR Options:
    • 6,000 SFRH5 96.00/96.87 1x2 call spds ref 95.70
    • -3,000 SFRZ4 95.00/95.25/95.50/95.75 put condors, 7.75 ref 96.225
    • +4,000 SFRZ4 95.00/95.25/95.50/95.62 broken put condor, 0.0
    • 2,000 SFRM4 94.87/95.00/95.25 broken call trees ref 94.86
    • 2,000 SFRM4 94.75/94.87 call spds vs. SFRM4 94.37/94.50 put spds
    • 3,400 SFRM4 94.93 calls ref 94.855
    • -4,000 SFRJ4 94.81/94.87/94.93/95.00 iron condor, 3.0
    • +2,000 SFRM4 94.81/94.87/94.93/95.00 call condors, 2.5
    • 2,800 SFRJ4 94.93/95.00 call spds vs. SFRJ4 94.81/94.87 put spds
    • +2,000 SFRK4 94.62/94.75/94.81 1x3x2 broken put flys, 2.75 vs. 94.85/0.10%
    • 2,000 SFRU4 94.75/94.87 put spds vs. SFRU4 95.37/95.50 call spds ref 95.135
  • Treasury Options:
    • 5,000 USK4 114 puts, 4 total volume over 14,600
    • -1,500 TYM4 107.5/109 3x2 put spds 21-22
    • +2,000 TYM4 111/114.5 call spds vs. TYM4 107.5 puts, 45
    • +5,000 wk2 TY 108.75/109.5 put spds, 3
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