Late SOFR/Treasury Option Roundup: Puts to the Fore

SOFR and Treasury option trade segued from near pared to better bearish hedging by late morning Thursday, predominantly via put buying but also unwinds of upside call positions as underlying futures traded weaker on data (higher than expected flash manufacturing PMI). A notable exception was a large 10Y weekly midcurve call bought ahead the open - that was followed by a large at-the-money put buy in the first half. Both expire on April 12, covering the next employment report on April 5, CPI on April 10 and PPI the day after. Meanwhile, projected rate cut pricing has receded in the near term: May 2024 at -12.4% vs -14.5% late Wednesday w/ cumulative -3.1bp at 5.297%; June 2024 -66.8% vs. -69.5% earlier w/ cumulative rate cut -19.8bp at 5.130%. July'24 cumulative at -31.0bp vs -32.5bp earlier.

• SOFR Options:
  • 20,000 SFRJ4 95.00/95.25 put spds, 24.0 ref 94.89
  • 10,000 SFRM4 94.75/94.81/94.87 put flys ref 94.895 to -.89
  • Block, 5,000 SFRU4 94.62 puts, 2.0 ref 95.20
  • Block/screen: 37,500 SFRM5 95.37/95.87/96.37 put flys, 10.0-10.5 ref 95.985
  • +10,000 SFRM4 94.68/94.75/94.81 put flys, 0.5
  • Block, 15,000 SFRU4 94.62 puts, 2.0 ref 95.195
  • +13,000 SFRK4/SFRM4 94.93 put spds, 1.75
  • 4,000 SFRZ4 95.00/95.37/95.75 put flys
  • Block, 5,000 SFRM5 95.37/95.87/96.37put flys, 10.0 ref 95.985
  • Block, total 10,000 SFRZ4 95.00/95.25/95.50 put flys, 4.5
  • Block, 12,000 SFRJ4 95.37/95.12 call spds, 0.5 ref 94.905
  • +4,500 SFRJ4 94.81/94.87 2x1 put spds 0.75
  • 4,000 SFRZ4 94.50 puts, ref 95.535
  • 2,000 SFRU4 95.50/95.68/96.18/96.37 call condors ref 95.21
  • 2,500 SFRM4 94.87/95.00/95.12 call flys, ref 94.905
• Treasury Options:
  • -10,000 TYK4 112 calls, 16
  • +50,000 wk2 TY 110.50 puts, 42 vs. 110-18/0.46%
  • +50,000 wk2 TY 110.75 calls, 42 vs. 110-23/0.50%
  • 2,000 wk5 10Y 110/111 strangles, 19 ref 110-22
  • 2,000 SFJ4/FVK4 106.75 put spds
  • over 8,600 TYJ4 109.75 puts, 2 ref 110-14 to -13.5
  • 1,500 TYK4 109 puts, 19 ref 110-14.5
  • 1,500 FVK4 107 calls, 33.5 ref 106-31