Late SOFR/Treasury Option Roundup

SOFR and Treasury options held mixed through Monday's session, SOFR switched to calls late, while Treasury switched to better 5Y and 10Y puts inthe second half. Modest overall volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures firmer, off highs after larger than est Tsy borrow estimates. Projected rate cut pricing largely eased slightly: May 2024 -2.1% w/ cumulative -0.5bp at 5.324%; June 2024 at -10.6% w/ cumulative rate cut -3.2bp at 5.297%, July'24 cumulative at -8.1bp, Sep'24 cumulative -18.1bp.

• SOFR Options:
  • +10,000 0QK4 95.75 calls, 2.0 vs. 95.39/0.10%
  • -10,000 SFRM4 94.81/94.87/94.93/95.00 put condors, 0.25 ref 94.715
  • -1,500 SFRU4 94.87 straddles 30.0-29.5 ref 94.855/0.10%
  • Block, +5,000 SFRZ4 94.18/94.56 put spds, 4.5 vs. 95.01/0.10%
  • +2,500 SFRZ4 94.00/94.25 3x2 put spds 0.0
  • +4,000 SFRZ4 94.87/95.12/95.75/96.00 iron condor, 16.75 ref 94.855
  • 4,000 SFRZ4 95.50/95.75 call spds vs. 2,000 SFRZ4 94.62 puts ref 95.02
  • 8,500 SFRM4 94.68/94.75/95.00 call trees ref 94.705
• Treasury Options:
  • Block +20,000 FVM4 104.25/104.75 put spds, 11 ref 105-02.5 at 1318:37ET.
  • -10,000 TYM4 106.5/109.5 strangles, 35 ref 107-30
  • over 30,900 TYM4 106 puts, 13-15, 13 last ref 107-29
  • -14,000 TUM4 101.5/102 call spds, 9 ref 101-14.5
  • 1,400 TYM4 109.5/110.5/113 call flys ref 107-25.5
  • 1,800 TYM4 107/108/109 call flys, 10 net/wings over
  • 1,500 wk1 TY 104.5/105.75 call spds
  • 4,700 TYM4 106.75/107.75 2x1 put spds ref 107-23
  • 3,500 TYM4 107/107.75 2x1 put spds