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Late SOFR/Treasury Option Roundup: Rate Cut Pricing Recedes

US TSYS
Heavy SOFR and Treasury option trade Wednesday as rates reacted negatively to a pick-up in inflation measured by March CPI data. Bearish on net, traders reported some large call position unwinds and two-way puts leaning toward better buys. Underlying futures broadly weaker, extended lows after 10Y Note auction tailed 3.3bp.
Projected rate cut pricing remains well off morning levels: May 2024 at -2.6% vs. -4.7% earlier w/ cumulative -.6bp at 5.322%; June 2024 at -17.2% vs -55.1% earlier w/ cumulative rate cut -5bp vs -14.9bp at 5.279%. July'24 cumulative at -12.1bp vs. -24.4bp, Sep'24 cumulative -22.7bp vs. -41.2bp.
  • SOFR Options:
    • Block, 14,000 SFRZ4 95.00/95.25/95.50/95.62 broken put condor
    • +10,000 SRM5 94.00/94.25 put spreads 3.25 ref 95.50
    • Block, -19,230 SFRJ4 94.62/94.75 call spds, 9.5 vs. 94.735/0.70%
    • Block, 50,000 SFRU4 94.93/95.06/95.50/95.62 call condors, 2.5 wings over ref 94.905
    • Block, 40,000 SFRJ4 94.68/94.75 put spds, 2.5-2.75 vs. 94.735/0.55%
    • Block, 5,000 2QM4 96.25/96.37/96.50 put trees, 29.5 2-legs over vs. 95.94/0.65%
    • Block, 10,000 0QJ4 95.50 puts, 0.5 vs. 95.50/0.50%
    • -5,000 SRZ4 94.87/95.12/95.56/95.81 Iron Condor 16.5 ref 95.11
    • +5,000 2QK4 96.25 straddles, 42.5 vs. 95.90/0.70%
    • -15,000 SRM4 94.75/94.87/95.00/95.12 call condors 2.75-2.25 ref 94.73
    • -7,000 SRM4 94.87/94.93/95.00/95.06 call condors 1.5-1.25 ref 94.74
    • +5,000 SRU4 94.62/94.87/94.93/95.06 put condor 1.0 vs. 95.085/0.07%
    • -2,500 SRK4/SRM4 94.50/94.62/94.75/94.87 put condor strip, 10.5
    • +10,000 SFRZ4 96.00/97.00 call spds, 6.0
    • 5,000 SFRJ4 94.87/94.93 call spds ref 94.835
    • 12,000 2QU4 97.00/97.37 call spds ref 96.175
    • 2,000 SFRM4 94.50/94.62 put spds ref 94.84
    • 1,250 SFRZ4 96.50/97.25/98.50 2x3x1 broken call flys ref 95.335
    • 3,000 SFRM4 94.75/94.87/95.06/95.18 call condors ref 94.84
    • Block, 2,500 SFRH4 94.62/95.12 put spds, 12.0 vs. 95.54/0.15%
    • Block, 4,000 0QK4 96.43/96.62 call spds, 1.0 ref 95.75
  • Treasury Options:
    • 30,000 FVM4 105.5 puts, 38.5 ref 105-12.75
    • 5,000 FVK4 105.5/106.5 2x1 put spds, 25 ref 105-15
    • -10,000 TYM4 107 puts, 23-22, total volume over 21,000
    • 2,000 TYM4 106/107 put spds, 6 ref 109-23
    • 3,500 TYM4 107.5 puts, 16 ref 109-21.5
    • 2,000 FVK4 107 calls ref 106-08.5
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Heavy SOFR and Treasury option trade Wednesday as rates reacted negatively to a pick-up in inflation measured by March CPI data. Bearish on net, traders reported some large call position unwinds and two-way puts leaning toward better buys. Underlying futures broadly weaker, extended lows after 10Y Note auction tailed 3.3bp.
Projected rate cut pricing remains well off morning levels: May 2024 at -2.6% vs. -4.7% earlier w/ cumulative -.6bp at 5.322%; June 2024 at -17.2% vs -55.1% earlier w/ cumulative rate cut -5bp vs -14.9bp at 5.279%. July'24 cumulative at -12.1bp vs. -24.4bp, Sep'24 cumulative -22.7bp vs. -41.2bp.
  • SOFR Options:
    • Block, 14,000 SFRZ4 95.00/95.25/95.50/95.62 broken put condor
    • +10,000 SRM5 94.00/94.25 put spreads 3.25 ref 95.50
    • Block, -19,230 SFRJ4 94.62/94.75 call spds, 9.5 vs. 94.735/0.70%
    • Block, 50,000 SFRU4 94.93/95.06/95.50/95.62 call condors, 2.5 wings over ref 94.905
    • Block, 40,000 SFRJ4 94.68/94.75 put spds, 2.5-2.75 vs. 94.735/0.55%
    • Block, 5,000 2QM4 96.25/96.37/96.50 put trees, 29.5 2-legs over vs. 95.94/0.65%
    • Block, 10,000 0QJ4 95.50 puts, 0.5 vs. 95.50/0.50%
    • -5,000 SRZ4 94.87/95.12/95.56/95.81 Iron Condor 16.5 ref 95.11
    • +5,000 2QK4 96.25 straddles, 42.5 vs. 95.90/0.70%
    • -15,000 SRM4 94.75/94.87/95.00/95.12 call condors 2.75-2.25 ref 94.73
    • -7,000 SRM4 94.87/94.93/95.00/95.06 call condors 1.5-1.25 ref 94.74
    • +5,000 SRU4 94.62/94.87/94.93/95.06 put condor 1.0 vs. 95.085/0.07%
    • -2,500 SRK4/SRM4 94.50/94.62/94.75/94.87 put condor strip, 10.5
    • +10,000 SFRZ4 96.00/97.00 call spds, 6.0
    • 5,000 SFRJ4 94.87/94.93 call spds ref 94.835
    • 12,000 2QU4 97.00/97.37 call spds ref 96.175
    • 2,000 SFRM4 94.50/94.62 put spds ref 94.84
    • 1,250 SFRZ4 96.50/97.25/98.50 2x3x1 broken call flys ref 95.335
    • 3,000 SFRM4 94.75/94.87/95.06/95.18 call condors ref 94.84
    • Block, 2,500 SFRH4 94.62/95.12 put spds, 12.0 vs. 95.54/0.15%
    • Block, 4,000 0QK4 96.43/96.62 call spds, 1.0 ref 95.75
  • Treasury Options:
    • 30,000 FVM4 105.5 puts, 38.5 ref 105-12.75
    • 5,000 FVK4 105.5/106.5 2x1 put spds, 25 ref 105-15
    • -10,000 TYM4 107 puts, 23-22, total volume over 21,000
    • 2,000 TYM4 106/107 put spds, 6 ref 109-23
    • 3,500 TYM4 107.5 puts, 16 ref 109-21.5
    • 2,000 FVK4 107 calls ref 106-08.5