Late SOFR/Treasury Option Roundup: Put Buying to the Fore Pre-PPI

SOFR and Treasury option trade segued from mixed to much better downside put spread buying Wednesday as underlying futures trade weaker ahead tomorrow's PPI data.

• Projected rate cut pricing over the next three meetings evaporating: March 2024 chance of 25bp rate cut currently -0.8% w/ cumulative of -0.02bp at 5.328%; May 2024 at -12.4% vs. -14.5% late Tuesday w/ cumulative -3.3bp at 5.297%; June 2024 -59.5% vs. -63% late Tuesday w/ cumulative cut -18.2bp at 5.148%. July'24 cumulative -31.2bp at 4.993%.
• SOFR Options:
  • Block, +16,000 SFRM4 94.75/94.87 put spds, 5.5 vs. 94.89/0.25%
  • Block/screen, +50,000 SFRH5 95.00/95.50/96.00 put flys, 11.0-10.5 ref 95.80 to -.795
  • -4,000 SRM4 94.93/95.25 call spds 4.25 ref 9488.5
  • +5,000 SRU6 96.62 calls 66.5 ref 9645
  • +6,000 SRZ5 96.50 calls 57.5 ref 9635.5
  • +4,000 SRM5 96.25 calls 46 ref 9604.5
  • -2,000 SRH5 95.87 vs SRM5 96.37 straddle spds 32.5
  • +5,000 SRN4 95.75 calls vs SRU4 95.62/96.50 call spds 0.0 Sep over
  • +3,000 SRH5 95.00/95.50 put spds vs. SRH5 96.25/97.00 call spds 0.0
  • +3,000 SFRH5 96.25/97.50 1x2 call spds, 11.5 vs. 95.80/0.10%
  • +10,000 0QH4 95.68 puts, 1.5 vs. 95.77/0.10%
  • +7,500 SFRM4 95.00/95.12/95.25 call flys, 0.25
  • Update, 30,000 SFRK4 94.81/94.93/95.06 call flys ref 94.895 to -.885
  • 2,500 SFRJ4 95.25/95.37 call spds ref 94.88
  • Block, 2,500 SHRH4 94.68/94.75/94.87 broken put trees, 10.25 ref 94.6725
  • 5,000 SFRK4 94.81/94.93 call spds ref 94.885
  • 3,000 0QH4 95.68/95.75 put spds ref 95.81
  • Block, 4,000 SFRM4 94.81/94.93/95.12/95.25 call condors, 5.5 ref 94.90
• Treasury Options:
  • over 50,000 TYJ4 109.25/110.5 put spds, 13-14 vs. 110-31.5 to 111-01/0.25
  • 2,000 FVM4 109.75/110/110.5/111 broken call condors,
  • over 10,000 FVK4 108 calls earlier
  • -3,000 TYK4 109/112.5 strangles, 43
  • Block, +8,000 TYK4 113 calls, 18 vs. 111-03.5/0.08%
  • 3,000 TUJ4 102.37 calls ref 102-13.5 to -13.12
  • 3,300 FVJ4 107 puts, 11-12 ref 107-11.25