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Mid-Morning SOFR Option Roundup

STIR
SOFR options trade looks rather mixed following this morning's post-CPI gap bid/offer that extended both session highs then lows. Volumes are improving, however, as underlying futures have inched back near mid-range. The very short end is another story, however, SFRU4-SFRZ4 trade weaker as CPI raises the bar for 50bp cut in Sep. Current projected rate cuts vs. early morning levels (*) post-CPI: Sep'24 cumulative -37.2bp (-39.7bp), Nov'24 cumulative -72.4bp (-74.2bp), Dec'24 -106.2bp (-108.1bp).
  • Salient trade:
  • +30,000 SFRH5 95.12/95.43 put spd w/ SFRU4 94.87/95.12 call spd vs. SFRH5 95.81/96.00 call spds 7.75-8.25 net
  • +10,000 SFRX4 95.75/96.00/96.25 call flys, 4.0 ref 95.81
  • +10,000 SFRV4 95.37/95.50/95.56/95.68 put condor 3.0 ref 95.805
  • -5,000 SFRU4 95.18/95.31/95.43 call flys 2.25 ref 9.513
  • -7,000 SFRU4 95.12 straddles 16. ref 95.125
  • +5,000 SFRM5 97.50/98.00 call spds, 7.0 vs. 96.595/0.08%
  • +5,000 SFRU4 95.00/95.25 call spds 10.0 ref 95.115
  • -10,000 SFRU4 94.87/95.00/95.12 call flys 5.0-4.75 ref 95.115
  • +6,000 SFRZ4 95.12/95.25/95.37 put trees 1.5 ref 95.77
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