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Late SOFR/Treasury Option Roundup: Mixed Pre-NFP, Projected Cuts Gain

US TSYS

SOFR and Treasury options traded mixed on net Thursday, paired between calls and puts as underlying futures see-sawed mildly higher in narrow range. While Federal Reserve Chairman Powell's testimony to congress a repeat of Wednesday, many clung to the sidelines ahead Friday's February employment report.

  • In turn - projected rate cut pricing held steady in the near term to slightly higher again vs. morning highs: March 2024 chance of 25bp rate cut currently -5.4% w/ cumulative of -1.4bp at 5.318%; May 2024 at -22.7% vs. -18.6% this morning w/ cumulative -7bp at 5.261%; June 2024 -68% from -65.5% earlier w/ cumulative cut -24bp at 5.091%. July'24 cumulative -39.4bp vs. -36.8bp at 4.938%.
  • SOFR Options:
    • +24,000 SFRM4 94.81/94.93/95.06 call flys, 3.5 ref 94.95
    • Block, 5,000 SFRU5/0QU4 96.25 straddle spds, 46.0 net/long Red Sep'25 over
    • Block, 5,000 SFRM4 95.62/95.87 call spds 1.0 vs. 94.97/0.05%
    • Block, 5,000 SFRM4 94.81/94.93 put spds 1.5 over SFRU4 94.87/95.00 put spds
    • Block, 5,000 0QZ4/2QZ4 97.50/97.87 call spd spds 1.0, short Dec over
    • +10,000 0QH4 95.62/95.81 put spd, 4.75 vs. 95.91/0.25%
    • +12,000 0QH4 96.00 calls, 7.0 vs. 95.905/0.38%
    • -5,000 SFRU4 95.37/96.00 1x2 call spds, 0.5
    • -4,000 2QH4 96.37 puts, 4.5 vs. 96.485/0.32%
    • +10,000 SRU4 96.00 calls 11.5 ref 95.26
    • -4,000 SRU5 96.00 puts 47.5 vs. 96.31/0.40%
    • +5,000 SRM5 95.12/95.62/96.12 put trees .5 ref 96.16
    • +12,000 0QH4 96.25 calls 2.0 ref 95.905
    • 3,000 SFRM4 94.56/94.75 put spds ref 94.92
    • Block, +5,000 SFRM4 95.62/95.87 call spds, 1.0 vs. 94.94/0.05%
    • +5,000 SFRJ4 95.37/95.75 call spds, 0.75 vs. 94.93/0.07%
    • 1,500 SFRM4 96.00/96.50 call spds
  • Treasury Options:
    • 7,000 FVK4 100/101/102/103 put condors ref 107-18.25
    • 8,000 TYK4 111/111.5/113 broken call flys, 121 ref 111-17.5
    • 10,000 TYJ4 111.5/112.5 call spds, 27 ref 111-17
    • +9,000 TYK4 111 puts, 55
    • 3,000 wk2 FV 107.75/108 call spds, ref 107-17.25 (expire Friday)
    • 2,850 wk2 TY 111/112.5 put over risk reversals ref 111-15.5/0.43% (expires Friday)
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