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Late SOFR/Treasury Option Roundup

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SOFR and Treasury option trade remained mixed Tuesday, slightly better early bullish flow evaporated as underlying futures continued to extend lows into the close. Focus on tomorrow's FOMC announcement. Projected rate cut pricing continued to recede vs. morning levels: May 2024 -1.0 vs. -2.1% earlier w/ cumulative -0.3bp at 5.326%; June 2024 at -6.6% vs. -10.6% w/ cumulative rate cut -1.9bp at 5.310%, July'24 cumulative at -5.1bp, Sep'24 cumulative -12.6bp.

  • SOFR Options:
    • +10,000 SFRV4 94.37/94.62 put spreads 3.75 ref 94.96
    • +4,000 0QH4 94.75/96.75 put over risk reversals 0.5 vs. 95.69/0.40%
    • +10,000 SFRU4 94.93/95.12/95.18 1x3x2 broken call flys, 1.75 ref 94.815
    • -15,000 SFRM4 94.68/94.75 2x1 put spds,
    • -5,000 SFRZ4 94.43/94.68 put spds vs. 0QZ4 95.50/95.75 put spds, 7.25 net
    • +6,000 SFRM5 93.75/94.25 put sods, 6.25 ref 95.325
    • +8,000 SFRU4 94.43/94.56 put spds, 1.0 vs. 94.84/0.20%
    • Block (adds to +10k earlier), +10,000 0QU4 94.62 puts, 7.0
    • -5,000 SFRU4 94.75/96.25 call spd w/ SFRU 94.68 put, 19.5-19.25 ref 94.82
    • -10,000 SFRK4 94.75/94.81/95.00/95.06 put condor ref 94.70) w/ SFRN4 95.06/95.18/95.43/95.56 put condor (ref 94.82), 1.25 total.
    • Block, 10,000 0QU4 94.62 puts, 7.0 ref 95.465
    • 5,000 0QK4 95.75 calls ref 95.36
    • 5,000 SFRM4 96.18 calls ref 94.71 to -.705
    • 2,000 SFRM4 94.87/95.00 2x3 put spds ref 94.705
  • Treasury Options:
    • 2,000 TYM4 111/112/113/114 call condors
    • 10,000 Monday weekly 108.5/109 call spds, 4-5 ref 107-19 to -20.5 (expire May 6)
    • 3,000 Wednesday weekly 30Y 114.5/115 call spds, 2 (expire tomorrow)
    • over 8,700 TYM4 106 puts, 12 last
    • 1,500 FVM4 106.25/107/107.75 call flys ref 104-31.75
    • 1,500 TYM4 111.5/112 call spds ref 107-29
    • 2,000 FVM4 107.75/108.5 call spds ref 105-01.5
    • 4,000 TYM4 107/108 put spds vs. TYM4 109 calls ref 107-31
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SOFR and Treasury option trade remained mixed Tuesday, slightly better early bullish flow evaporated as underlying futures continued to extend lows into the close. Focus on tomorrow's FOMC announcement. Projected rate cut pricing continued to recede vs. morning levels: May 2024 -1.0 vs. -2.1% earlier w/ cumulative -0.3bp at 5.326%; June 2024 at -6.6% vs. -10.6% w/ cumulative rate cut -1.9bp at 5.310%, July'24 cumulative at -5.1bp, Sep'24 cumulative -12.6bp.

  • SOFR Options:
    • +10,000 SFRV4 94.37/94.62 put spreads 3.75 ref 94.96
    • +4,000 0QH4 94.75/96.75 put over risk reversals 0.5 vs. 95.69/0.40%
    • +10,000 SFRU4 94.93/95.12/95.18 1x3x2 broken call flys, 1.75 ref 94.815
    • -15,000 SFRM4 94.68/94.75 2x1 put spds,
    • -5,000 SFRZ4 94.43/94.68 put spds vs. 0QZ4 95.50/95.75 put spds, 7.25 net
    • +6,000 SFRM5 93.75/94.25 put sods, 6.25 ref 95.325
    • +8,000 SFRU4 94.43/94.56 put spds, 1.0 vs. 94.84/0.20%
    • Block (adds to +10k earlier), +10,000 0QU4 94.62 puts, 7.0
    • -5,000 SFRU4 94.75/96.25 call spd w/ SFRU 94.68 put, 19.5-19.25 ref 94.82
    • -10,000 SFRK4 94.75/94.81/95.00/95.06 put condor ref 94.70) w/ SFRN4 95.06/95.18/95.43/95.56 put condor (ref 94.82), 1.25 total.
    • Block, 10,000 0QU4 94.62 puts, 7.0 ref 95.465
    • 5,000 0QK4 95.75 calls ref 95.36
    • 5,000 SFRM4 96.18 calls ref 94.71 to -.705
    • 2,000 SFRM4 94.87/95.00 2x3 put spds ref 94.705
  • Treasury Options:
    • 2,000 TYM4 111/112/113/114 call condors
    • 10,000 Monday weekly 108.5/109 call spds, 4-5 ref 107-19 to -20.5 (expire May 6)
    • 3,000 Wednesday weekly 30Y 114.5/115 call spds, 2 (expire tomorrow)
    • over 8,700 TYM4 106 puts, 12 last
    • 1,500 FVM4 106.25/107/107.75 call flys ref 104-31.75
    • 1,500 TYM4 111.5/112 call spds ref 107-29
    • 2,000 FVM4 107.75/108.5 call spds ref 105-01.5
    • 4,000 TYM4 107/108 put spds vs. TYM4 109 calls ref 107-31