Late SOFR/Treasury Options Roundup

SOFR and Treasury options remained mixed on heavier volumes Tuesday, underlying futures weaker in the aftermath of higher than hoped for CPI inflation data. Projected rate cut pricing has receded - CPI data unlikely to provide the FOMC confidence of inflation returning to 2% in the near term: March 2024 chance of 25bp rate cut currently -0.8% w/ cumulative of -0.02bp at 5.328%; May 2024 at -14.5% vs. -20.7% earlier w/ cumulative -3.8bp at 5.291%; June 2024 -63% w/ cumulative cut -19.6bp at 5.134%. July'24 cumulative -33.7bp at 4.993%.

• SOFR Options:
  • Block, 18,000 SFRM4 95.12/95.50 call spds 2.5 vs. 94.905/0.12%
  • +10,000 SFRJ4 94.87/94.93/95.00 put flys, 1.5
  • -10,000 0QH4 96.12/96.18 call spds .25 ref 9593
  • +14,000 SFRU4 96.00 calls, 8.5 ref 95.22
  • -3,000 0QH4 96.12/96.25 call spds .5 ref 9593
  • -5,000 SFRZ4 96.50/97.00/97.50 call flys, 1.5 ref 95.54
  • +5,000 SFRZ4 94.37 puts 4.0 ref 9558.5
  • +4,000 0QM4 96.37/96.87 call spds v 2QM4 96.75/97.25 call spds .75
  • Block, 4,000 0QJ4 95.93/96.06 call spds 4.0 vs. 95.91/0.23%
  • 2,000 SFRK4 95.00/95.12 2x1 put spds ref 94.925
  • Block/screen, 10,000 SFRJ4 95.25/95.37 call spds, 0.5 vs. 94.93/0.04%
  • 2,000 SFRJ4 94.93/95.00/95.06/95.12 call condors, ref 94.925
  • 6,000 SFRJ4 95.06/95.12/95.25/95.31 call condors, ref 94.93 to -.925
  • 2,000 SFRM4 94.68/94.87 2x1 put spds
  • 9,500 0QH4 95.68/95.75 put spds ref 95.91
  • Block/screen, 9,500 2QM4 96.62 calls, 20.5vs. 96.46/0.44%
  • 2,000 SFRM4 95.00/95.06/95.31 put trees ref 94.93
• Treasury Options:
  • 5,000 TYK4 114.5/116 1x2 call spds, 0.0 ref 111-05
  • +10,000 TYJ4 111.5/112.25 call spds, 14 ref 111-05
  • 2,500 USM9 130/131/132/133 call condors
  • Block, 8,500 TYM4 108 puts, 20 vs. 111-09/0.14%, adds to 15k earlier
  • 5,000 TYK4 110/111 3x2 put spds, 14 net ref 111-07
  • 3,500 TYM4 107.5 puts, ref 111-07.5
  • Block, 7,500 TYK4 108.5 puts, 13 vs. 111-09/0.20
  • 3,500 FVK4 111/112/113/114 call condors ref 107-11.75
  • 2,800 wk3 TY 108.25/109/109.75 put flys, ref 111-06.5, expire this Friday
  • 10,000 TYK4 107.5 puts, 111-09
  • over 15,200 TYM4 108 puts, 18 ref 111-11
  • +6,000 TYM 107.5 puts, 13 ref 111-19.5
  • Block, 7,500 TYM4 107 puts, 10 vs 111-20.5/0.20%
  • 7,000 TYJ4 108.5 puts, ref 111-21
  • 1,200 TYJ4 108.75/109.75/110.75 put flys ref 111-20
  • 17,000 FVJ4 108.25 calls vs. FVJ4 106.75/107.25 put spds ref 107-19.25