Late SOFR/Treasury Option Roundup

SOFR option trade has segued from better downside puts in early trade to upside calls in late morning trade as underlying futures continue to pare losses - extending top end of the session range. Treasury options continued to revolve around 5Y-30Y puts. Projected rate cut pricing running steady to mildly lower vs. late Friday lvls: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at 11.6bp, Sep'24 cumulative -22.3bp.

• SOFR Options:
  • -5,000 SFRU4 95.00/95.18/95.43/95.62 call condors, 2.5
  • -4,000 SFRU4 95.00/95.12/95.43/95.62 call condors 2.5 vs. 94.885/0.05%
  • +15,000 SFRZ4 94.00/94.12/94.37/94.50 1.25 vs. 95.075
  • +30,000 SFRK4 96.00 calls, 0.5
  • -7,500 0QN4 95.00 puts, 6 vs. 95.585/0.18%
  • +4,000 SFRM4 95.25/95.75 call spds, 0.75 vs. 94.74/0.06%
  • +5,000 SFRU4 95.12/95.25 call spds, 2.0 vs. 94.90/0.05%
  • +4,000 SFRM4 94.87 puts, 17.5 vs. 94.74/0.80%
  • +10,000 0QZ4 95.75/96.25 call spds, 17.25-17.50 vs.95.66 to -.67/0.16%
  • -4,000 SRU4 95.50 calls, 6.5 vs. 9489/ 0.16%
  • +5,000 0QZ4 96.25/96.75 call spds vs 2QZ4 96.37/96.75 call spds 2.0
  • +7,000 0QU4 94.62/95.00/95.25/95.50 broken put condor, 4.0 vs. 95.545/0.10%
  • 2,000 SFRM4 94.68/94.75/94.81 put flys ref 94.73
  • 1,600 0QM4 94.75/95.00 put spds ref 95.375
• Treasury Options: Reminder, May options expire Friday
  • +6,000 USM4 110 puts, 25
  • -4,000 TYK4 107.5/108 put spds, 18
  • +4,000 USK4 112 puts, 8
  • 2,000 FVM4 104 puts, ref 104-27.5
  • over 5,400 FVM 105.75 puts, 105 last
  • over 3,700 FVM4 107 calls, 7 last