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Late SOFR/Treasury Option Roundup: Better Upside Hedging

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SOFR and Treasury option trade leaned toward better upside calls Wednesday as underlying futures followed EGBs higher despite a pick-up in UK inflation metrics. Projected rate cut pricing steady vs. late Tuesday levels: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 steady at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.6bp, Sep'24 cumulative -24.9bp.
  • SOFR Options:
    • +10,000 SFRN4 94.87 straddles, 28.5
    • 8,000 SFRZ4 97.00/98.00 call spds ref 95.075
    • +15,000 SFRK4 96.50 calls, 0.5 ref 94.73
    • +20,000 SFRZ4 96.00/97.00 call spds, 6.5 ref 95.07
    • -7,000 SFRM4 94.50/94.62/94.75 put flys, 5.75 vs. 94.735
    • -3,000 0QM4 95.50/95.87 call spd w/ 0QM4 95.50/95.93 call spd strip, 22.5
    • 2,500 SFRZ4 94.37/94.50/94.75/94.87 put condor vs SRH4 94.25/94.62/95.00 put flys 2.5
    • Block, 11,750 SFRV4/SFRZ4 94.62 put spds, 3.0
    • Block, 8,880 SFRV4/SFRZ4 94.62 put spds, 2.5
    • 2,000 SFRM4 94.87/94.93/95.00/95.06 call condors ref 94.725
    • 2,000 SFRU4 95.18/95.37 put spds ref 94.885
    • 2,000 SFRZ4 95.87/96.12 call spds, ref 95.05
    • 4,000 SFRZ4 95.50/95.75/96.25/96.50 call condors ref 95.06
    • 3,000 SFRZ4 94.62/94.87/95.25/95.37 put condors, ref 95.04 to -.045
  • Treasury Options:
    • 5,300 TYK4 107.5 puts, 18 ref 107-28, total volume over 13.2k
    • 6,000 TYM4 108 calls, 58 ref 107-29
    • Block, 8,500 TYM4 107.5 puts, 48 ref 107-30
    • 5,000 FVK4 105.75/106 call spds ref 105-03.5
    • 6,000 USK4 115 puts vs. USM4 113 puts, 5 net/May over
    • 5,000 TYK4 106.5/107.5 put spds ref 107-28.5
    • 6,000 wk3 TY 107.75 calls, 13 ref 107-23 (expire Friday)
    • over 8,000 TYK4 106.25 puts 3-4
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SOFR and Treasury option trade leaned toward better upside calls Wednesday as underlying futures followed EGBs higher despite a pick-up in UK inflation metrics. Projected rate cut pricing steady vs. late Tuesday levels: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 steady at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.6bp, Sep'24 cumulative -24.9bp.
  • SOFR Options:
    • +10,000 SFRN4 94.87 straddles, 28.5
    • 8,000 SFRZ4 97.00/98.00 call spds ref 95.075
    • +15,000 SFRK4 96.50 calls, 0.5 ref 94.73
    • +20,000 SFRZ4 96.00/97.00 call spds, 6.5 ref 95.07
    • -7,000 SFRM4 94.50/94.62/94.75 put flys, 5.75 vs. 94.735
    • -3,000 0QM4 95.50/95.87 call spd w/ 0QM4 95.50/95.93 call spd strip, 22.5
    • 2,500 SFRZ4 94.37/94.50/94.75/94.87 put condor vs SRH4 94.25/94.62/95.00 put flys 2.5
    • Block, 11,750 SFRV4/SFRZ4 94.62 put spds, 3.0
    • Block, 8,880 SFRV4/SFRZ4 94.62 put spds, 2.5
    • 2,000 SFRM4 94.87/94.93/95.00/95.06 call condors ref 94.725
    • 2,000 SFRU4 95.18/95.37 put spds ref 94.885
    • 2,000 SFRZ4 95.87/96.12 call spds, ref 95.05
    • 4,000 SFRZ4 95.50/95.75/96.25/96.50 call condors ref 95.06
    • 3,000 SFRZ4 94.62/94.87/95.25/95.37 put condors, ref 95.04 to -.045
  • Treasury Options:
    • 5,300 TYK4 107.5 puts, 18 ref 107-28, total volume over 13.2k
    • 6,000 TYM4 108 calls, 58 ref 107-29
    • Block, 8,500 TYM4 107.5 puts, 48 ref 107-30
    • 5,000 FVK4 105.75/106 call spds ref 105-03.5
    • 6,000 USK4 115 puts vs. USM4 113 puts, 5 net/May over
    • 5,000 TYK4 106.5/107.5 put spds ref 107-28.5
    • 6,000 wk3 TY 107.75 calls, 13 ref 107-23 (expire Friday)
    • over 8,000 TYK4 106.25 puts 3-4