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TEST, PLEASE IGNORE

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Modest Bearish Hedging as Projected Rate Cut Pricing Cools

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SOFR and Treasury option trade remained mixed Friday with better puts emerging in the former as underlying futures trade trade back to pre-CPI and Retail Sales levels. Rate cut projections remain largely in-line with this morning's levels (*): June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% w/ cumulative at -8bp at 5.258%, Sep'24 cumulative -21.1bp, Nov'24 cumulative -29.2bp, Dec'24 -44.4bp.

  • SOFR Options:
    • +10,000 SFRN4 94.68/94.75 put spds, 1.0 ref 94.885
    • Over -45,000 (15k Blocked) SFRH5 96.00/96.50 call spds 7.5 vs. 95.38 to -.39/0.11%
    • Block, +11,000 SFRM4 94.62 puts, 0.5 vs. 94.6675/0.05%
    • +15,000 SFRV4 94.75/94.87/94.93/95.06 put condors, 2.5
    • -2,000 SFRU4 94.87 straddles, 21.0-20.5
    • Block, 15,000 SFRM4 94.75/95.00 1x2 call spds 0.0 ref 94.6925
    • +4,000 SFRM4 94.62/95.00 call over risk reversals vs. 94.695/0.10%
    • 1,000 SFRU4 94.62/94.75/94.81/94.88 broken put condors
    • 1,800 SFRU4 94.62/94.75 put spds
    • 2,000 SFRN4/SFRU4 94.68 put spds
    • +5,500 0QH5 94.50/95.00 put spds, 6.0 ref 96.05
  • Treasury Options:
    • 2,500 TYM4 108 puts
    • 2,500 TYM4 107/108/109 call flys
    • 5,000 TYN4 112/TYU4 114 call spd
    • 4,000 USU4 112/117 2x1 put spds ref 117-22
    • 1,000 TYM4 108.75/109.25 3x2 put spds, 13 ref 109-13
    • 1,500 FVM4 106.25/107 1x2 call spds, 5 ref 106-01
    • 3,800 FVM4 105.75/FVN4 106.75 call spds
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SOFR and Treasury option trade remained mixed Friday with better puts emerging in the former as underlying futures trade trade back to pre-CPI and Retail Sales levels. Rate cut projections remain largely in-line with this morning's levels (*): June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% w/ cumulative at -8bp at 5.258%, Sep'24 cumulative -21.1bp, Nov'24 cumulative -29.2bp, Dec'24 -44.4bp.

  • SOFR Options:
    • +10,000 SFRN4 94.68/94.75 put spds, 1.0 ref 94.885
    • Over -45,000 (15k Blocked) SFRH5 96.00/96.50 call spds 7.5 vs. 95.38 to -.39/0.11%
    • Block, +11,000 SFRM4 94.62 puts, 0.5 vs. 94.6675/0.05%
    • +15,000 SFRV4 94.75/94.87/94.93/95.06 put condors, 2.5
    • -2,000 SFRU4 94.87 straddles, 21.0-20.5
    • Block, 15,000 SFRM4 94.75/95.00 1x2 call spds 0.0 ref 94.6925
    • +4,000 SFRM4 94.62/95.00 call over risk reversals vs. 94.695/0.10%
    • 1,000 SFRU4 94.62/94.75/94.81/94.88 broken put condors
    • 1,800 SFRU4 94.62/94.75 put spds
    • 2,000 SFRN4/SFRU4 94.68 put spds
    • +5,500 0QH5 94.50/95.00 put spds, 6.0 ref 96.05
  • Treasury Options:
    • 2,500 TYM4 108 puts
    • 2,500 TYM4 107/108/109 call flys
    • 5,000 TYN4 112/TYU4 114 call spd
    • 4,000 USU4 112/117 2x1 put spds ref 117-22
    • 1,000 TYM4 108.75/109.25 3x2 put spds, 13 ref 109-13
    • 1,500 FVM4 106.25/107 1x2 call spds, 5 ref 106-01
    • 3,800 FVM4 105.75/FVN4 106.75 call spds