Late SOFR/Treasury Options Roundup: Projected Rate Cut Pricing Cools

Continued two-way SOFR and Treasury options reported Monday, short end rates weaker as projected rate cut pricing looks steady to mildly cooler vs. this morning's levels: June 2024 steady at -10% w/ cumulative rate cut -2.5bp at 5.298%, July'24 at -24% w/ cumulative at -8.5bp at 5.238%, Sep'24 cumulative -20.7bp (-22.8bp earlier), Nov'24 cumulative -30.3bp (-32.8bp earlier). Dec'24 cumulative currently -43.7bp (-47.7bp earlier).

• SOFR Options:
  • +5,000 SFRM4 96.00/96.31 call spds, 0.25 ref 94.72
  • -10,000 SFRZ4 94.75 puts, 8.5 vs
  • +5,000 0QZ4 95.37 puts, 21 vs. 95.89/0.30%
  • +10,000 SFRH5 96.25/97.75 call spds 13.5 vs. 95.395/0.18%
  • Block, 7,000 SFRZ5 93.75/94.25/94.75 put flys, 5.0 ref 95.915
  • 1,500 0QK4 95.56/95.75 call spds ref 95.645
  • Blocks, 8,000 SFRZ4 94.37/94.62/94.87 put flys, 5.5
  • 4,500 SFRM4 95.75/96.18call spds
  • 2,000 0QZ4 96.37/97.00 call spds bs. 3QZ4 96.50/97.00 call spds
  • 2,200 SFRM4 95.62/96.18 call spds ref 94.725
  • 1,900 SFRQ4 95.12 calls ref 94.905
  • Block, 2,900 SFRZ5 90.00/94.00 put spds, 10.5 ref 95.88
  • Block, 2,500 SFRZ4 94.43/94.68 put spds, 3.0 ref 95.15
• Treasury Options:
  • +15,000 TYN4 107.5 puts, 28 ref 109-02
  • 9,900 TYU4 113.5 calls, 20 ref 109-04.5 to -03
  • Block, 10,000 TYU4 114 calls, 17 ref 109-04.5
  • 1,400 TYM4 108/110 call spds, 59 ref 108-31
  • 1,300 FVM4 104.75 puts ref 105-21.5