Late SOFR/Treasury Option Roundup: Heavy Mixed Trade as Rate Cuts Cool

SOFR and Treasury option flow appeared more mixed Thursday compared to the more one-way low delta put buying over the last several sessions. Heavy volumes saw continued low delta volume, to be sure, but also a pick-up in upside calls looking to fade the decline in the latest rate cut projections.

• Underlying futures held weaker in the short end to intermediates as this morning's lower than expected weekly claims underscored policymakers concern over cutting rates too soon than too late as reiterated by Philly Fed Harker late Thursday.
• Projected rate cut pricing remains soft compared to this morning's levels: March 2024 chance of 25bp rate cut currently -5.8% vs. -6.8% this morning w/ cumulative of -1.4bp at 5.314%; May 2024 at -23.5% vs. -27.7% earlier w/ cumulative -7.3bp at 5.255%; June 2024 -55.3% vs. -61.5% earlier w/ cumulative cut -21.1bp at 5.117%. Fed terminal at 5.33% in Feb'24.
• SOFR Options:
  • Block, 30,000 SFRU4 95.25/95.43 call spds 5.75 on splits ref 95.19
  • Block, 8,000 SFRH4 94.75 puts, 6.0 vs. 94.705/0.74%
  • Block, 6,000 SFRH5 94.62/95.12 2x1 put spds, 1.5 net 2-legs over
  • Block, 20,000 SFRU4 95.00/95.50/95.75/96.25 call condors, 13.0-12.5
  • Block, 20,000 SFRJ4 94.62/94.75/94.81/94.93 put condors 5.0-4.0
  • +5,000 SFRM4 94.81/94.93/95.00/95.12 call condors 3.25 ref 94.91
  • +5,000 0QJ4 95.75 puts 11.5 vs. 96.01/0.30%
  • +5,000 SRM4 95.00/95.25 call spds 5.5 vs. 9493/0.17%
  • -10,000 0QH4 95.75/96.25 2x1 put spds 21.25 ref 95.80
  • +5,000 SRJ4 95.25/95.75 call spds 1.75
  • +5,000 0QH4 95.68/95.87 2x1 put spds 1x2 2.0 ref 95.78
  • +2,000 SRM4 95.37/95.50/95.62 1x3x2 call flys .75
  • +2,000 SFRM4 94.75/94.87/95.00 put fly w/
  • +2,000 SFRM4 94.62/94.81/95.00 put fly strip, 5.5 total db
  • -3,000 SRM4 94.93 straddles, 31.5 ref 9491.5
  • -6,000 0QH4 95.62/96.25 2x1 put spds 32.0 vs. 95.78/0.20%
  • -2,500 SRM4 94.75 puts 7.5 ref 9491.5
  • +2,500 0QH4 95.31/95.43/95.56/95.68 put condors 2.5 vs. 95.80/0.05%
  • +4,000 SRM4 94.93/95.12 put spds 12.25 over 95.50/95.68 call spd
  • +5,000 SFRM4 95.25/95.50 call spds, 2.5
  • Block, 5,000 SFRJ4 95.25/95.75 calls, 1.75 ref 94.915, 2k more in pit
  • -10,000 SFRK4 95.06/95.18 call spds, 2.5 vs. 94.925/0.10%
  • +10,000 SFRM4 95.50/96.00/96.50 call flys, 1.25
  • +4,000 SFRK4 94.75 puts, 5.5 vs. 94.905/0.10%
• Treasury Options:
  • +15,200 TYJ4 108.5 puts, 23 vs. 110-01/0.25%
  • -5,000 TYJ4 110 straddles 1-50 in smaller lots
  • Block, -10,400 TYH 107.5/109 put spds vs. +13,500 TYM4 107.5/109 put spds
  • 15,000 TYH4 109/TYM4 108 put spds
  • +4,000 TYJ4 111.5 calls 26 vs. 109-24/0.30%