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Late SOFR/Treasury Option Roundup: Better Puts as Rate Cut Pricing Ebbs

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SOFR option trade revolved around downside puts Wednesday, modest overall volumes occurring well before the May 1 FOMC minutes release (generally a non-event). Rate cut projections are slightly lower vs. late Tuesday levels (*): June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.323%, July'24 at -16.0% (-20%) w/ cumulative at -5.2 (-6.3bp) at 5.283%, Sep'24 cumulative -17.8bp (-19.9bp), Nov'24 cumulative -25.6bp (-27.6bp), Dec'24 -40bp (-43.7bp).
  • SOFR Options:
    • -5,000 SFRU4 94.62/94.87 put spds 10.25 ref 94.855
    • -5,000 SFRH4 94.25/94.62 2x1 put spds 0.0 ref 95.31
    • +4,000 SFRZ4 95.50 puts, 52.5 vs. 95.08/0.72%
    • +10,000 SFRU4/SFRZ4 94.75 put spds +1.75
    • +5,000 0QU4 95.00/95.75 3x1 put spds 15.0 ref 94.845
    • Block/screen, total 25,000 0QU4 95.00/95.75 3x1 put spds, 15.0-15.5 ref 95.695
    • -8,000 0QU4 95.87/96.12/96.25/96.50 call condors, 3.5 vs. 95.685/0.05%
    • 2,250 SFRN4 94.81/95.25 1x2 call spds
    • 5,600 SFRQ4 94.68/94.81/94.93 put flys ref 94.85
    • 3,000 SFRU4 94.37/94.62 put spds, ref 94.85
    • 1,500 SFRQ4 94.81/94.83/95.12 broken call trees ref 94.85
    • 2,000 SFRU4 94.37/94.62 put spds ref 94.85
    • 1,500 2QN4 95.62/95.93 put spds ref 96.08
  • Treasury Options: Reminder, June options expire Friday
    • 5,250 TYN4 110.5/112/113.5 call flys, 9 ref 109-12.5
    • 1,600 USM4 110/USQ4 114 put spds
    • 2,000 TUM4 101.5/101.62 put spds
    • 2,000 TYM4 108.75/109.25 strangles 11
    • 1,500 FVU4 107/109 1x2 call spds ref 106-04
    • over 6,300 TYM4 109 puts, 6-12
    • 1,500 TYU4 108.5/110 strangles
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SOFR option trade revolved around downside puts Wednesday, modest overall volumes occurring well before the May 1 FOMC minutes release (generally a non-event). Rate cut projections are slightly lower vs. late Tuesday levels (*): June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.323%, July'24 at -16.0% (-20%) w/ cumulative at -5.2 (-6.3bp) at 5.283%, Sep'24 cumulative -17.8bp (-19.9bp), Nov'24 cumulative -25.6bp (-27.6bp), Dec'24 -40bp (-43.7bp).
  • SOFR Options:
    • -5,000 SFRU4 94.62/94.87 put spds 10.25 ref 94.855
    • -5,000 SFRH4 94.25/94.62 2x1 put spds 0.0 ref 95.31
    • +4,000 SFRZ4 95.50 puts, 52.5 vs. 95.08/0.72%
    • +10,000 SFRU4/SFRZ4 94.75 put spds +1.75
    • +5,000 0QU4 95.00/95.75 3x1 put spds 15.0 ref 94.845
    • Block/screen, total 25,000 0QU4 95.00/95.75 3x1 put spds, 15.0-15.5 ref 95.695
    • -8,000 0QU4 95.87/96.12/96.25/96.50 call condors, 3.5 vs. 95.685/0.05%
    • 2,250 SFRN4 94.81/95.25 1x2 call spds
    • 5,600 SFRQ4 94.68/94.81/94.93 put flys ref 94.85
    • 3,000 SFRU4 94.37/94.62 put spds, ref 94.85
    • 1,500 SFRQ4 94.81/94.83/95.12 broken call trees ref 94.85
    • 2,000 SFRU4 94.37/94.62 put spds ref 94.85
    • 1,500 2QN4 95.62/95.93 put spds ref 96.08
  • Treasury Options: Reminder, June options expire Friday
    • 5,250 TYN4 110.5/112/113.5 call flys, 9 ref 109-12.5
    • 1,600 USM4 110/USQ4 114 put spds
    • 2,000 TUM4 101.5/101.62 put spds
    • 2,000 TYM4 108.75/109.25 strangles 11
    • 1,500 FVU4 107/109 1x2 call spds ref 106-04
    • over 6,300 TYM4 109 puts, 6-12
    • 1,500 TYU4 108.5/110 strangles