Post-FOMC SOFR/Treasury Option Roundup

Heavy FI option trade reported Thursday, two-way positioning that favored upside/rate cut insurance amid a strong carry-over bid for Tsys Thursday after the FOMC held rates steady and acknowledged inflation has eased Wednesday. Not only did 10Y yield fall below 4.0% this morning, but under 3.9% by midday -- to 3.8835% at midday (5 month lows) as market as markets fully price in the first rate cut at the March 20, 2024 FOMC.

Projected rate cuts for early 2024 gained momentum: January 2024 cumulative -5bp at 5.283%, March 2024 chance of rate cut climbs to -81.9% vs. -62% late Wednesday w/ cumulative of -25.5bp at 5.078%, May 2024 fully pricing in the first cut with cumulative -50.8bp at 4.824%, June'24 cumulative -76.8bp at 4.565%. Fed terminal at 5.33% in Feb'24.

• SOFR Options:
  • Block, 10,000 SFRU4 95.25 puts, 22.0 ref 95.80
  • +20,000 SFRF4 95.00/95.12/95.25 call flys, 2.25
  • Block, 14,000 SFRH4 94.93/95.06/95.18 call flys, 1.75 ref 95.00
  • Block, 10,650 SFRF4 94.84/94.93/95.00 put flys, 1.75 ref 94.995
  • over 20,000 SFRH4 94.75/94.87 /95.00 call flys ref 94.99
  • 3,000 SFRH4 94.87/95.37/95.87 call flys ref 94.98
  • 3,000 SFRH4 94.68/94.81/94.87/94.93 put condors ref 94.985
  • Block, 5,000 SFRU4 95.75/96.00/96.25 call flys, 2.0 ref 95.905
  • Block, 4,000 SFRJ4 95.12/95.25/95.37 put flys, 1.0 ref 95.495
  • Block, 5,500 SFRG4 94.68/94.75 call spread, 5.25 ref 95.015 at 0617:16ET. Same spread crossed earlier 5.0 over the SFRG4 94.37 puts.
  • 1,500 SFRH4 94.37/94.62/94.75 broken put flys
  • 2,000 SFRK4 94.62/94.75 put spds vs. SFRK4 95.37/95.50 call spds
  • 3,750 SFRG4 94.75/94.87 put spds ref 95.025
  • 7,500 0QG4 97.00/97.25 call spds ref 96.515
  • 4,000 0QH4 97.50/98.00 call spds ref 96.525
  • 6,000 SFRH4 94.50 puts, 0.5 ref 95.02
  • 4,000 SFRU4 97.00/97.50 call spds ref 95.90
  • Block/screen 11,000 SFRM4 97.00/97.50 call spds, 2.0 ref 95.48
  • Block, 2,000 SFRM4 96.50/97.50 call spds, 5.5 ref 95.455
  • 5,600 SFRZ3 94.62 calls, .75-1.0 ref 94.63 to -.635
  • 1,800 0QH4 95.75/96.00 put spds vs. 0QH4 96.62/97.12 call spds ref 96.435
• Treasury Options:
  • 10,000 TYG4 109.5/110/111/112 2x2x1x1 put condors, 23
  • Block/screen, over -26,000 FVF4 107.5 calls from 62 (13k block) to 1-00 (screen)
  • +15,000 TYG4 110.5/112 2x1 put spds, 11 ref 112-16.5 to -17
  • +11,000 wk5 TY 113/114/115 call flys from 9-8
  • +8,000 FVF4 108 calls 47 over the FVF 106/107 put spd
  • +25,000 TYF4 111/114 call over risk reversals 47 vs. 112-16.5
  • 5,000 TYF4 112.5 calls, 35 ref 112-15.5
  • 6,000 TYF4 112 calls, 55 ref 112-15.5
  • 3,000 FVG4 107.75/108.25 call spds ref 108-15 to -14.75
  • 6,200 TYF4 111 calls, 129-130 ref 112-15.5
  • 2,000 TYH4 114/115 call spds, 15 ref 112-06.5
  • Block, 5,000 TYF4 111.25 calls, 63 ref 112-01.5