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Midmorning SOFR Option Roundup

STIR
Varied trade leaning towards downside positioning after better upside interest the last couple sessions. Weaker underlying futures at near session lows while projected rate cut pricing continues to cool: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% from -16.2% earlier w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at 11.6bp from -12.1bp earlier, Sep'24 cumulative -22.2bp from -24.1bp.
  • -5,000 SRH5 95.75/96.37 call spds 11 ref 95.235
  • -5,000 SRU4 95.50 calls 6.5 vs. 94.87/0.16%
  • +5,000 SRU4 94.25/94.37 put spds vs. 94.855/0.05%
  • +4,000 SRQ4 94.56/94.68/94.87/95.00 put condors 6.25 ref 94.88
  • +5,000 SRM4 95.00/95.25/95.50/95.75 call condors 0.5 ref 94.73
  • -4,000 SRV4 95.12 straddles, 52.0 ref 95.06
  • +5,000 SRU4 94.37 puts 2.0 ref 94.875

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