November 17, 2023 20:07 GMT
Late SOFR/Treasury Option Roundup: SOFR Calls Surge
- SOFR and Treasury option volumes surged Friday, focus on upside (read rate cut insurance) calls, particularly in SOFR options despite underlying futures paring early session gains and looking to settle mostly weaker.
- As such, early projected rate cut chances pared early gains: December at 0bp at 5.333%, January 2024 cumulative 0bp at 5.333%, March 2024 pricing in -28.1% chance of a rate cut (-33.9% this morning) with cumulative at -7bp at 5.262%, May 2024 pricing in -46.4% chance of a rate cut (-51.8% earlier) with cumulative -18.6bp at 5.146%. Fed terminal holds at 5.33% in Dec'23 through Feb'24.
- Link to today's option summary