Late SOFR/Treasury Option Roundup: Better SOFR Put Buying

Early paired FI trade leaned toward better SOFR Put structure buying Wednesday, even before underlying futures reversed gains/extended lows following better than expected flash PMIs tempered rate cut projections for early 2024: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -39.7% vs. -50.4% on the open w/ cumulative of -10.6bp at 5.223%, May 2024 at 74.7% vs. 80.2% on the open w/ cumulative -29.2bp at 5.036%, June 2024 97.1% (99.2% earlier) cumulative -53.8bp at 4.791%. Fed terminal at 5.32% in Feb'24. Salient trade:

• SOFR Options:
  • +10,000 SFRH4 95.06/95.18 call spds, 0.5
  • Block, 6,000 SFRJ4 94.75 puts, 1.5 ref 95.265
  • +20,000 SFRU4 94.75/95.06 put spds, 5.0 ref 95.725
  • +7,000 SFRJ4 95.00/95.12/95.25 put trees, 0.75 vs. 95.305/0.06
  • 15,000 SFRH4 94.87/94.93/95.00 call flys
  • 11,000 SFRJ4 95.31/95.37/95.56/95.62 put condors
• Treasury Options:
  • 5,000 TYG4 111.75/112 call spds, 2 ref 111-08.5
  • 5,000 TYK4 110 puts, ref 112-0
  • 5,000 TYG4 111 puts, 6 last