Late SOFR/Treasury Option Roundup, Sticking With Puts

With a few exceptions, SOFR and Treasury option trade centered on downside puts Wednesday as underlying futures unwound Tuesday's post flash PMI support. In turn, projected rate cut pricing swung back to recent lows: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -16.2% vs. -13.6% this morning w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.6bp vs. -11.6bp earlier, Sep'24 cumulative -24bp vs. -22.9bp.

• SOFR Options:
  • Block, +10,000 SFRZ3 94.62/94.68/94.87 broken put tree, 0.0
  • +5,000 SFRM5 93.75/94.25 put spreads 5.5 ref 95.455
  • +10,000 0QK4 95.50/95.75 call spds 6.5 ref 95.44
  • -12,000 SFRN4 94.62/94.78/94.87/94.93 Iron Condor, 3.25 ref 942895
  • -10,000 SFRZ4 94.62/94.68/94.87 put tree 0.25/2-legs over ref 95.08
  • -12,000 SFRK4/SFRM4 94.93 put spds, 1.5
  • Block, 8,001 SFRV4 94.75 puts, 8.5 vs. 13,335 SFRV4 94.31 puts, 2.0 vs. 1,200 SFRZ4 95.07
  • +4,000 SFRK4 94.75/94.87/95.06 broken call flys, 1.25
  • +30,000 SFRK4 96.75 calls, 0.25
  • 3,950 SFRM4 94.68/94.81/94.93 call trees ref 94.73
  • 1,250 SFRM4 94.68/94.75/94.81/94.93 call condors ref 94.73
  • 3,300 SFRZ4 94.87/95.37 2x1 put spds ref 95.065
  • 1,250 SFRV4 /SFRZ4 94.37/94.62 put spd spd
  • 2,500 SFRZ4 94.00/94.12/94.37/94.50 put condors ref 95.075
  • 2,500 SFRK4 94.93/95.06 call spds ref 94.73
• Treasury Options: Reminder, May options expire Friday
  • +10,000 TYM4 111/112.5/113 call strip, 12 ref 107-23
  • 10,000 TYM4 105/106 put spds vs. TYM4 110-111 call spds
  • 2,176 FVK4 105/105.25/105.5 call flys vs. FVK4 104.5/104.75/105 put flys
  • 6,000 wk2 US 106.25 puts expire May 10
  • 4,700 weekly Wednesday 10Y 107.5 puts, 1 expire today
  • 2,500 TYK4 107.25/108 2X1 put spds