Post Data SOFR Options: Fading Post-CPI Sell-Off For Now

Post-CPI options looking bullish on the surface: fading the post data sell-off in underlying futures via upside call structure buying and put selling driven in good part by position unwinds so far.

• Projected rate cut pricing gradually gaining traction after post-data consolidation: March 2024 chance of 25bp rate cut currently -10.6% vs. -10.6% earlier (-18.3% late Monday) w/ cumulative of -2.6bp at 5.302%; May 2024 at steady at -33.0% vs. -53.0% late Monday w/ cumulative -10.9bp at 5.220%; June 2024 -68.9% vs. -64.3% earlier (-80.3% late Monday) w/ cumulative -27.9bp at 5.050%. Fed terminal at 5.3275% in Feb'24. Salient post-data trade:
  
  • Block, +10,000 SFRM4 95.50/96.25 call spds, 3.75
  • +4,000 SFRM4 95.50/95.75 call spds, 1.75
  • -2,000 SFRU4 95.31 puts, 41.5 vs. 95.315/0.58%
  • +5,000 SFRZ4 97.50/98.00/98.50/99.00 call condors, 2.25 ref 95.65
  • +2,500 0QH4 95.75/96.25 strangles, 14.0 ref 95.94/0.08%
  • -5,000 SFRJ4 94.93/95.06 2x1 put spds 0.25
  • -5,000 SFRJ4 94.81/95.00 2x1 put spds 4.5
  • +6,000 SFRH4 94.75 puts, 6.0 ref 94.72
  • +8,000 SFRK4 95.06/95.25/95.43 call flys, 2.5