Late SOFR/Treasury Option Roundup: Heavier Put Interest

Heavier SOFR and Treasury option volumes leaned towards downside put structures Wednesday even as underlying futures bounced off lows - Tsys followed rebound in Gilts overnight after UK CPI miss (tempered by EU IP strength notably in Ireland). Projected rate cut pricing held steady in the near term to mildly higher by mid-year (Jun fully priced): March 2024 chance of 25bp rate cut currently -14.4% vs. -10.1% late Tuesday w/ cumulative of -3.6bp at 5.293%; May 2024 at -35.6% vs. -33.0% late Tuesday w/ cumulative -11.4bp at 5.215%; June 2024 -71.2% vs. -64.3% late Tuesday w/ cumulative cut -29.2bp at 5.037%. Fed terminal at 5.3275% in Feb'24.

• SOFR Options:
  • Block +10,000 SFRJ4 94.75/94.87/95.12/95.25 put condors, 7.0 ref 95.02
  • +5,000 SRM4 94.87/94.93/95.06/95.12 call condor, 1.5 vs. 9501.5/0.10%
  • +8,000 SRH4 94.75 puts 5.5 vs. 94.725/0.58%
  • +8,000 SRH4 96.00 calls .5 ref 9472
  • +5,000 SRM4 95.00/95.25 call spds vs. 94.99/0.20%
  • +5,500 SRM4 94.75 puts vs 95.12/95.25/95.56/95.68 call condors 5.5
  • Block, 11,000 SFRZ4 95.50 puts, 33.5 ref 95.65, 8k more in pit
  • Block, +90,000 SFRZ4 93.5/94.00 put spds 1.5 vs. 95.635 to -.61/0.05%
  • Block, total -24,500 SFRM4 94.75 puts, 6.0 ref 94.975
  • Block, -16,000 2QU4 97.12/97.50 call spds SFRU4 97.50 calls, 1.75 net/spits
  • Block/screen, +30,000 SFRZ4 94.25/95.00/95.75 2x3x1 put flys, 11.5 ref 95.605
  • Block, 5,000 SFRZ4 96.50/98.00 call spds vs. 10,000 2QZ4 97.25/98.00 call spds 3.5 net/Green Dec over
  • Block, 8,000 SFRK4 94.75/94.87/94.93/95.06 put condors, 4.0
  • 2,000 2QJ4 96.62/96.75/96.87 put trees, 33.5 ref 96.29
• Treasury Options:
  • 4,000 TYK4/TYM4 108 put spds, 13 ref 110-19
  • 3,000 FVH4 103.5/104/104.5/105 put condors
  • Block, 10,000 TYJ4 114 calls, 8 ref 110-20.5
  • 3,500 TYH4 109.25/109.5 put spds, 7 ref 109-31
  • over 16,000 FVH4 107 puts, 39.5 ref 106-18.75 to -17.37