Late SOFR/Treasury Option Roundup: SOFR Call-Centric

SOFR options kicked off 2024 leaning toward limited upside call flys and condors Tuesday. Underlying futures weaker, current levels back near December 13 post-FOMC highs (TYH4 currently -19 at 112-09.5 vs. 112-04 low). Projected rate cuts for early 2024 recedes slightly: January 2024 cumulative -2.6bp at 5.302%, March 2024 chance of rate cut -77.5% vs. -84.3% last Friday w/ cumulative of -22bp at 5.109%, May 2024 still pricing in a full 25bp cut with cumulative -46.9bp at 4.859%, June'24 cumulative -72.2bp at 4.607%. Fed terminal at 5.33% in Jan'24.

• SOFR Options:
  • +5,000 SFRH4 95.12/95.37 call spds, 3.0 ref 94.975
  • +2,250 SFRG4 94.75 calls, 23.5 ref 94.975
  • Block: 5,000 SFRJ4 94.62/95.00/95.25/95.37 put condors, 2.25 ref 95.415
  • 4,000 SFRH4 97.00/97.25 put spds
  • Block, 5,000 SFRM4 95.43/95.56 call spds, 4.75 ref 95.435/0.07%
  • +5,000 SFRM4 95.43/95.56 call spds 4.75
  • +10,000 SFRM4 94.93/95.12 2x1 put spds, 1.5 cr
  • 4,000 0QG4 96.75 calls ref 96.46
  • 13,000 SFRH4 94.81/94.93/95.06/95.18 call condors
  • 2,500 SFRH4 95.00/95.25/95.43 broken call flys ref 94.975
  • Update, 8,000 SFRU4 96.00/96.50/97.00 call flys ref 95.845
  • 2,000 SFRU4 95.50/0QU4 96.50 put spds
  • 1,500 SFRM4 95.25/95.50/95.87/96.12 call condors, ref 95.44
  • 3,500 SFRM4 95.25/95.37/96.00/96.12 call condors ref 95.44
  • 1,500 SFRM4 95.00/95.75/96.50 call flys ref 95.435
  • 1,250 SFRH4 94.62/94.75/94.87 put flys, ref 94.98
  • 1,250 SFRH4 94.68/94.75/94.81/94.87 call condors ref 94.975
• Treasury Options:
  • 2,000 TYG4 112 puts, 46 ref 112-09/0.44%
  • 2,800 TYH4 115 calls, 28 ref 112-11.5/0.22%