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Late SOFR/Treasury Option Roundup

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SOFR and Treasury option trade remained mixed Thursday, Treasury options leaning toward upside 5- and 10Y calls while SOFR options revolved around downside puts since midmorning. Underlying futures held weaker levels after this morning's lower than expected weekly claims and strong PCE data saw chances of a rate cut in 2024 evaporate. Projected rate cut pricing vs. pre-data levels: May 2024 -2.6% w/ cumulative -2.6bp at 5.322%; June 2024 at -8.9% from -16.2% earlier w/ cumulative rate cut -2.9bp at 5.300%. July'24 cumulative at -8.6bp from -12.1bp, Sep'24 cumulative -18.6bp from -24.4bp.

  • SOFR Options:
    • Block, +5,000 SFRZ4 94.50 puts, 8.0 vs. 95.01/0.22%
    • Block, 12,000 SFRZ4 94.00/94.25 put spds, 1.5 vs. 95.065/0.02%
    • +5,000 SFRM4 94.50/94.62 put spd vs SFRM4 94.81/94.93/95.06 call flys 0.0
    • +7,000 SFRM4 94.68/94.75 2x1 put spds, 2.25 ref 94.71
    • Block, +25,970 SFRM4 94.75 puts, 9.0 ref 94.705
    • -5,000 SRFZ4 94.87 puts, 21.0 ref 94.99
    • -12,000 0QK4 95.56 calls, 5.5 vs. 95.375/0.28%
    • -5,000 SFRU4 94.87 calls, 14.5 ref94.86
    • +5,000 SFRZ4 96.00/97.00 call spds 5.5 ref 95.01
    • +5,000 SFRM4 94.88/95.00 call spds 1.0 ref 94.72
    • +10,000 SFRZ4 96.00/97.00 call spds 5.75 ref 95.03
    • 2,000 0QN4 95.87/96.12/96.37 call flys ref 95.505
    • 1,500 3QM4 95.25/95.75/96.25 put flys ref 95.92
    • 3,000 0QN4 94.75 puts ref 95.595
  • Treasury Options: Reminder, May options expire Friday
    • -5,000 TYM4 108 puts, 113 ref 107-14
    • -10,000 TYM4 107.5 puts, 59 ref 107-13
    • +5,000 TYU4 110.5 calls, 46
    • +50,000 wk1 FV 105.5 calls, 9.5 ref 104-24 opener, expires May 3
    • 2,800 FVK4 105.75/106.25 1x2 call spds
    • 9,000 TYM4 111/112/113/114 call condors
    • 4,000 FVM4 103.5/104.5 put spds ref 104-26
    • 5,000 FVM4 106/107 call spds ref 104-26.75
    • 3,200 TYK4 107.25/107.5 put spds, 4 ref 107-23.5
    • 1,600 USM4 119 calls, 15 ref 113-30
    • over 6,600 TYK4 107.5 puts, 7 last
    • 5,000 FVM4 106/107 call spds ref 105-03
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SOFR and Treasury option trade remained mixed Thursday, Treasury options leaning toward upside 5- and 10Y calls while SOFR options revolved around downside puts since midmorning. Underlying futures held weaker levels after this morning's lower than expected weekly claims and strong PCE data saw chances of a rate cut in 2024 evaporate. Projected rate cut pricing vs. pre-data levels: May 2024 -2.6% w/ cumulative -2.6bp at 5.322%; June 2024 at -8.9% from -16.2% earlier w/ cumulative rate cut -2.9bp at 5.300%. July'24 cumulative at -8.6bp from -12.1bp, Sep'24 cumulative -18.6bp from -24.4bp.

  • SOFR Options:
    • Block, +5,000 SFRZ4 94.50 puts, 8.0 vs. 95.01/0.22%
    • Block, 12,000 SFRZ4 94.00/94.25 put spds, 1.5 vs. 95.065/0.02%
    • +5,000 SFRM4 94.50/94.62 put spd vs SFRM4 94.81/94.93/95.06 call flys 0.0
    • +7,000 SFRM4 94.68/94.75 2x1 put spds, 2.25 ref 94.71
    • Block, +25,970 SFRM4 94.75 puts, 9.0 ref 94.705
    • -5,000 SRFZ4 94.87 puts, 21.0 ref 94.99
    • -12,000 0QK4 95.56 calls, 5.5 vs. 95.375/0.28%
    • -5,000 SFRU4 94.87 calls, 14.5 ref94.86
    • +5,000 SFRZ4 96.00/97.00 call spds 5.5 ref 95.01
    • +5,000 SFRM4 94.88/95.00 call spds 1.0 ref 94.72
    • +10,000 SFRZ4 96.00/97.00 call spds 5.75 ref 95.03
    • 2,000 0QN4 95.87/96.12/96.37 call flys ref 95.505
    • 1,500 3QM4 95.25/95.75/96.25 put flys ref 95.92
    • 3,000 0QN4 94.75 puts ref 95.595
  • Treasury Options: Reminder, May options expire Friday
    • -5,000 TYM4 108 puts, 113 ref 107-14
    • -10,000 TYM4 107.5 puts, 59 ref 107-13
    • +5,000 TYU4 110.5 calls, 46
    • +50,000 wk1 FV 105.5 calls, 9.5 ref 104-24 opener, expires May 3
    • 2,800 FVK4 105.75/106.25 1x2 call spds
    • 9,000 TYM4 111/112/113/114 call condors
    • 4,000 FVM4 103.5/104.5 put spds ref 104-26
    • 5,000 FVM4 106/107 call spds ref 104-26.75
    • 3,200 TYK4 107.25/107.5 put spds, 4 ref 107-23.5
    • 1,600 USM4 119 calls, 15 ref 113-30
    • over 6,600 TYK4 107.5 puts, 7 last
    • 5,000 FVM4 106/107 call spds ref 105-03