Late SOFR/Treasury Option Roundup, Better Call Action As Yield Decline

Mixed SOFR/Treasury options segued to better rate cut/upside call trading Thursday as underlying futures added to late session gains following ECB policymaker headlines that suggested a March rate pivot was still possible, depending on data. Rate cut projections for early 2024 gained slightly: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -49.4% vs. -40.7% this morning w/ cumulative of -13.0bp at 5.199%, May 2024 at -85.4% vs. 79.8% earlier w/ cumulative -34.3bp at 4.991%, June 2024 back over 100% at -102.1% vs. 97.5% earlier w/ cumulative -59.9bp at 4.730%. Fed terminal at 5.325% in Feb'24.

• SOFR Options:
  • Block +5,000 SFRH4 95.12/95.37 call spds, 0.75 ref 94.87 at 0959:20ET
  • Block +5,000 SFRZ4 97.75/98.00 call spds, 2.0 vs. 96.10/0.05% at 0957:51ET
  • +30,000 SFRK4 95.50/95.75 1x2 call spds w/SFRK4 96.12/96.50 call spds, 0.75 net cr
  • +5,000 0QH4 95.50/95.75/95.87/96.12 put condors, 5.75
  • 6,000 SFRK4 94.87/95.06/95.02 put flys ref 95.285 to -.29
  • Block, 5,000 SFRM4 95.56/95.62 call spds, 0.75 ref 94.865
  • Block, 6,000 SFRM4 94.93/95.18/95.50/95.62 broken put condors, 0.0 net ref 95.265
  • 2,000 SFRJ4 94.50/94.87/95.00/95.12 broken put condors ref 95.27
  • 3,500 SFRJ4 95.25/95.50/96.00 broken call flys
  • 2,000 SFRJ4 94.93/95.00/95.18 put flys
  • 4,500 SFRH4 94.87/94.93/95.00 call flys ref 94.855
  • 4,000 0QM4 97.00/97.50/97.75 broken call flys vs. 0QM4 95.75/96.00 put spds
• Treasury Options:
  • +10,000 TYH4 114.5 calls, 5
  • 2,500 FVH4 108/108.5/109 call flys vs. FVH 107.25/107.5/108 put flys
  • Block, +14,800 TYG4 110.75 puts, 10 vs. 110-30.5/0.29%
  • over 4,200 FVG4 108 calls, 3 last ref 107-20
  • over 3,500 TYG4 111.5 calls, 5 last
  • over 5,600 TYG4 110.75 puts, 7 last
  • 2,000 TYG4 110.5/112 put spds, 59 ref 111-02
  • 2,000 TYG4 110.25/110.5 put spds ref 110-30