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Late SOFR/Treasury Option Summary

US TSYS

Mixed on net, SOFR options favored upside rate cut call positioning (particularly in September) while Treasury options saw better put flow and vol selling Tuesday. Underlying futures fully recover from Monday's sell-off to pre-CPI levels ahead Fed Chairman Powell's semi-annual policy testimony to Congress on Wed-Thu and NFP Friday.

  • Projected rate cut pricing are steady to slightly higher vs. late Monday levels: March 2024 chance of 25bp rate cut currently -2.3% w/ cumulative of -0.6bp at 5.323%; May 2024 at -20.7% vs. -18.6% this morning w/ cumulative -5.7bp at 5.271%; June 2024 -64.4% from -60% this morning w/ cumulative cut -21.9bp at 5.110%. July'24 cumulative -36.1bp at 4.968%.
  • SOFR Options:
    • +5,000 0QH4 96.00/96.25 call spds 0.25 over 2QH4 96.56/96.81 call spds
    • +60,000 SFRU 96.00/97.00 call spds, 6.5 ref 95.24
    • +5,000 SRJ4 94.93/95.00/95.06/95.12 call condors 1.25ref 94.93
    • +15,000 SRM4 94.43 puts 1.25 ref 9493
    • SRU4 9475/9487/9525p tree -5K @9.25-9 (1 leg, 9523)
    • 2,000 SFRM4 94.75/95.12 strangles
    • 2,000 3QH4 96.00/96.25/96.37/96.62 call condors ref 96.45
    • Block, 6,000 0QM4 97.00 calls, 6.5 vs. 96.11/0.10%
    • 5,000 0QJ4 96.12 calls vs. 0QK4 95.75 puts ref 96.075
    • 2,000 SFRM4 94.50/95.00 2x1 put spds
    • Block, 5,750 SFRZ4 94.62/95.00 2x1 put spds 0.5 ref 95.545
    • 4,000 0QH4 95.50/95.62 put spds
  • Treasury Options:
    • -7,500 TYK4 109.5/113 strangles, 63
    • 4,000 TYJ4 112 calls, 24 ref 111-05.5
    • 4,000 FVM4 112/112.75/113.5/114.25 call condors ref 107-12.25
    • appr -9,000 TYJ4 114.5/115/115.5/116 call condors vs. 106/106.5/107/107.5 put condors 0.0 net
    • -12,615 TYJ4 110 puts, 16
    • -10,000 wk2 FV 107.5 straddles, 35.5-35.0 followed by +5k at 35.5
    • +10,000 TYJ 109/110 put spds, 12
    • +7,000 TYJ4 110.5/112 call over risk reversals, 0.0 vs. 111-08/0.66%
    • 1,900 TYJ4 106 puts ref 111-05
    • 1,600 TYM4 113/115 call spds, 22 ref 111-05
    • 1,500 FVJ4 106.75/107.75 strangles ref 107-07.75
    • 1,600 TYM4 110/112 call spds ref 110-31
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