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Late SOFR/Treasury Option Roundup: Remains Mixed Ahead Tuesday CPI

US TSYS

SOFR and Treasury option flows remained mixed Monday, moderate volumes as accounts try to hedge data risk ahead tomorrow's January CPI release. Similarly, underlying futures see-sawed higher in a narrow range by the close.

  • Projected rate cut pricing consolidated slightly on the day: March 2024 chance of 25bp rate cut currently -18.3% vs. -19.3% this morning w/ cumulative of -4.6bp at 5.28%, May 2024 at -53.0% vs. -56.0% earlier w/ cumulative -17.8bp at 5.148%, while June 2024 -80.3% vs. -83.8% earlier w/ cumulative -37.9bp at 4.947%. Fed terminal at 5.325% in Feb'24. Salient session flow includes:
  • SOFR Options:
    • 6,000 0QG4 96.00/96.25 put over risk reversals
    • +5,000 SFRH5 95.75/96.37/97.00 call flys, 11.0
    • 5,000 SFRM4 95.00/95.12/95.25 put flys ref 95.105 to -.11
    • +5,000 SFRH5 95.75/96.37/97.00 call flys, 11.0 ref 96.10
    • +7,500 0QH4 95.87 puts, 8.0 vs. 96.105/0.25%
    • +5,000 SFRJ4 94.87/95.12 1x2 call spds, 1.75
    • +5,000 SFRJ4 94.87 puts, 3.0
    • +2,000 SFRG4 94.75 puts, 1.25
    • +2,500 0QU4/0QZ4 96.00/97.00 strangle spd, 14.5
    • Block/pit, +15,000 0FU4/0FZ4 96.50 straddle spd, 14.5 net/Dec over
  • Treasury Options:
    • +25,000 wk3 FV 107.5 calls, 8 ref 107-08.5 (expire Friday)
    • +20,000 wk3 FV 107.5 calls 12.5 ref 107-08.25 (expire Friday)
    • +5,000 TYH4 110.75 puts, 33
    • +5,000 TYJ4 107/107.5/108 put strip, 18
    • 5,400 FVM4 109/110 call spds, ref 107-21.5
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