Late SOFR/Treasury Option Roundup: Call Buys Fade Drop in Est Rate Cut

SOFR and Treasury options favored low delta call structures after mixed trade on light overnight volumes, overall NY session volumes rather light on the shortened Easter Holiday week. Underlying futures moderately weaker on the day, projected rate cut pricing continued to cool: May 2024 at -12.9% vs. -14.5% this morning w/ cumulative -3.2bp at 5.296%; June 2024 -65.8% vs. -66.7% w/ cumulative rate cut -19.7bp at 5.132%. July'24 cumulative at -30.6bp vs. -32.0bp.

• SOFR Options:
  • +4,000 SFRH5 99.00 calls, 2.0 ref 95.75
  • +5,000 SFRH5 97.00/98.00 call spds 6.0 over 1,000 SFRH5 96.00 calls ref 95.76
  • +4,000 SFRN4 94.75/95.00 put spds vs. 2QN4 96.00/96.25 put spds, 3.75 net, 2QN4 over
  • +2,000 SHRH5 94.62/95.12 1x2 call spds, 1.5
  • +2,000 SFRM4 94.87/95.37 call spds, 7.0 vs. 94.90/0.50%
  • -4,000 SFRM4 94.87/95.75 call spds, 7.25-7.0
  • 4,600 SFRM4 94.75/94.81/94.87 put flys ref 94.905
  • 2,000 SFRQ4 94.93/95.12/95.18/95.37 call condors ref 95.21
• Treasury Options:
  • 10,700 TYK4 116 calls, 2 ref 110-16
  • 1,000 TYK4 110/111/111.5 1x3x2 broken call flys, 26
  • 2,400 TYK4 108.5/110.75 put spds vs. 113.75 calls ref 110-22
  • 6,000 FVK4 105 puts vs. 3,000 FVK4 108 calls ref 107-02.75
  • 5,700 Wed wk4 weekly 10Y 111.75 calls ref 110-24.5 (exp 3/27)