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Late SOFR/Treasury Option Roundup: To Fade or Not To Fade Cut Ests

US TSYS

SOFR and Tsy option trade remained mixed Tuesday - continued repositioning with moderately higher underlying still near post-NFP lows. Projected rate cut pricing gaining slightly as Fed rhetoric cools slightly (Mester still sees 3 cuts in 2024): March 2024 chance of 25bp rate cut currently -20.3% vs. -17.4% this morning w/ cumulative of -5.1bp at 5.270%, May 2024 at -61.2% vs. -57% w/ cumulative -20.4bp at 5.118%, while June 2024 back to -89.2% from -83.8% (105% pre-NFP for comparison) w/ cumulative -42.7bp at 4.895%. Fed terminal at 5.325% in Feb'24.

  • SOFR Options:
    • -15,000 SFRH4 94.93/95.37 call spds, 1.5
    • +4,000 SFRM4 94.50/94.62 put spds, 1.0
    • Block, +5,000 SFRU4 95.00/95.12 put spds 1.0 over 95.75/95.87 call spd
    • Block, 8,000 SFRH4 95.37 calls, 1.25 ref 94.775
    • update, +6,000 SFRZ4 95.00/95.25/95.50/95.75 put condors, 6.5
    • -10,000 SFRU4 95.25/95.50 call spds 11.5 vs. 95.535/0.12%
    • 3,000 SFRM4 95.31/95.43/95.56/95.68 call condors, ref 95.12
    • 9,500 SFRJ4 95.06/95.18/96.25 broken call trees adds to Block
    • 2,500 SFRU4 95.00/95.12/95.37 put trees ref 95.505
    • Block, 5,000 SFRJ4 95.06/95.18/96.25 broken call trees, 26.0 net vs. 95.125/0.05%
    • Block, 5,000 SFRM4 94.56/94.68/94.81 put flys, 1.5
    • 3,500 SFRK4 94.50/94.75 put spds, ref 95.125
    • 4,100 SFRK4/SFRM4 95.00/96.00 call spd spd
    • Block, 10,000 SFRM4 94.62/94.75 put spds, 2.25
    • Block, 2,500 SFRH4 94.62/94.75 put spds, 3.0
    • Block, 3,000 0QH4 96.00/96.25 put spds 13.0 vs. 96.17/0.22%
    • over 17,000 SFRM4 95.87 calls ref 95.14 to -.135
    • 10,000 SFRM4 95.12/95.81 1x2 call spds ref 95.15 to -.13
    • 1,670 SFRZ4 95.00/95.25/95.50/95.75 put condors ref 95.895
  • Treasury Options:
    • 2,750 FVH4 107/107.5 3x2 put spds, 8 ref 107-22.25
    • +33,000 TYJ4 108.5/110 put spd, 17 ref 111-23
    • 6,500 TUJ4 102.12/102.5/102.75/103.0 put condors ref 102-29.75
    • over 12,200 TYH4 109 puts, 6 last
    • over 9,900 TYH4 110 puts, 17 last
    • 1,000 TYHH4 108.5/109.5/110.5 put trees, 14 net ref 110-30.5
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