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Late SOFR/Treasury Option Roundup: Hedging Higher for Longer

US TSYS

SOFR and Treasury options leaned toward better downside put flow on net Monday -- carry over hedging higher (steady) for longer rates after last Friday's jobs surge for March (+303k). Underlying futures extending lows while projected rate cut pricing continues to ebb: May 2024 at -4.7bp w/ cumulative -1.2bp at 5.317%; June 2024 at -48.8% w/ cumulative rate cut -13.4bp at 5.195%. July'24 cumulative at -22.1bp, Sep'24 cumulative -38.2bp.

  • SOFR Options:
    • +10,000 SRK4 94.75/94.81 put spds 2.75 ref 94.82
    • +6,000 SRN4 94.62/94.75/94.87 put flys 2 ref 95.05
    • 5,000 SFRJ4 94.87/94.93/95.00 call flys
    • 5,000 0QJ4 95.50 puts, 1.5 vs. 95.675/0.10%
    • Block, +10,000 SFRJ4 94.87/94.93 call spds, 0.75
    • -5,000 SFRM4 94.75/94.87 call strip, 16.25 ref 94.82
    • Block, 15,000 SFRZ4 96.62 calls, 7.5 vs. 95.33/0.09%
    • +8,000 SRQ4 94.93/95.06/95.18 put fly 1.75 ref 9505.5
    • +4,000 SRU4 95.00/95.25 put spd vs 95.75/96.00 call spds 15.5 ref 9505
    • -8,000 SRM4 94.62/94.68/94.87 1x1x1 put fly 10.0-9.75 ref 9482
    • +4,000 SRM4 95.25/95.50 call spds cab, ref 9482
    • +4,000 SFRU4 94.43/94.68 put spds, 1.75 ref 95.06
    • -5,000 SFRZ4 95.25/95.50 call spds, 8.5 ref 95.315
    • +4,000 SFRN4 95.00/95.18/95.37 call flys, 3.75
    • Block, +4,000 2QM4 95.37/95.62 put spds, 3.0
    • 5,000 SFRJ4 94.62/94.75 put spds ref 94.82
    • 2,500 2QM4 94.93/95.06/95.18 put flys
    • +5,000 0QM4 96.25/96.75 call spds, 4.0 vs. 94.69/0.14%
    • +5,000 SFRQ4 94.93/95.06/95.18 put flys, 1.75
    • +7,000 SFRM4 94.87/95.00 call spds 3.0
    • +6,000 SFRN4 95.00/95.18/95.37 call flys, 3.75
    • 2,500 SFRJ4 94.87/94.93 call spds ref 94.815
    • 2,300 SFRU4 95.06/95.18/95.50/95.62 call condors ref 95.04
  • Treasury Options:
    • Update, +40,000 FVM4 106 puts 42-42.5
    • 6,000 TYM4 106/107.5/109 put flys, 15 ref 109-04 to -05
    • 3,000 USM4 118 calls, 124 ref 116-20
    • 3,350 wk3 10Y 107.5/108/109 broken put flys rtef 109-02.5
    • 3,900 USK4 115 puts, 44 last ref 116-14
    • 1,500 FVM4 104/104.5/105/105.5 put condors ref 105-31
    • +6,500 wk2 FV 105.25/105.5 put spds 3
    • +3,000 Wed wk2 108/108.5 2x1 put spds 2
    • Block/screen -15,000 TYK4 111.25/111.5 call spds, 2 vs. 109-10/0.08
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