Late SOFR/Treasury Option Roundup: Better Calls Ahead CPI, FOMC Minutes

SOFR and Treasury options look mixed with slightly better upside call trade Tuesday. Underlying futures climbing steadily off overnight lows through the NY session, finishing near highs as markets square up ahead of Wednesday's CPI and March FOMC minutes. Projected rate cut pricing firmer vs. late Monday levels: May 2024 at -6.7% vs. -4.7bp late Monday w/ cumulative -1.7bp at 5.312%; June 2024 at -53.4% vs. -48.8% w/ cumulative rate cut -15bp at 5.179%. July'24 cumulative at -24.6bp vs -22.1bp, Sep'24 cumulative -41bp vs. -38.2bp. Salient trade:

• SFOR Options:
  • +10,000 SRZ4 96.25/96.50 vs 0QZ4 97.12/97.37 call spd/spd 1.0
  • +4,000 0QJ4 95.62/95.87 put over risk reversal, 0.0 vs. 95.75/0.50%
  • +5,000 SRU4 94.68/94.81 2x1 put spd 0.0
  • +3,000 SRM4 94.62/94.68 2x1 put spd 1x2 0.0
  • -4,000 SRZ5 96.37 calls vs. 96.015/0.38%
  • +4,000 0QM4 96.00 calls, 1.0 vs. 95.79/0.05%
  • -4,000 SRU4 94.68/94.75 2x1 put spds 1.75 ref 95.085
  • +30,000 SRU4 94.62 puts 2.25-2.5 ref 95.08
  • +2,500 SRZ4 95.37/95.62 call spds x2 vs 0QZ4 96.50/97.12 call spd 1.5
  • +10,000 0QK4 96.00 calls, 6.0 ref 95.73
  • +5,000 SRJ4 94.87/94.93 call spds 0.75 vs. 9483.5/0.15%
  • -7,000 SRM4 94.87 calls vs 0QM4 96.50 calls, 2.5
  • +5,000 0QK4 96.00 calls 6.0 ref 9574
  • +4,000 SRM4 94.81/94.87/94.93/95.00 call condor 2.25, ref 9483
  • +5,000 SRK4 94.87/95.00 1x2 call spds 0.5 vs. 94.81/0.10%
  • +10,000 SFRJ4 94.81/94.87/94.93 call flys, 1.5
• Treasury Options:
  • -10,300 TYM4 109 puts, 43-42 ref 109-20.5
  • 2,000 FVM4/FVK4 105.75 put spds
  • 2,000 USK4 115/119 strangles, 61 ref 118-1
  • 5,000 TYM4 116/117/118/119 call condors
  • +8,500 TYK4 111.5/116 call spds 5 vs. 109-21/0.05%
  • +10,000 TYK4 111/111.5 call spds 4
  • -10,000 TYK4 111 calls 8 ref 109-16/0.08%
  • 2,000 FVK4 105.5/106 put spds 11
  • 3,000 TYM4 108/108.5/109.5 put trees, 0.0 ref 109-15