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STIR: Midmorning SOFR Option Roundup: Puts Recalibrated

STIR
BulletMarketsFixed Income Bullets

Better put trade on net, mostly new and position adds with some modest profit taking since this morning's strong jobs gain and UR dip sees underlying shift lower as aggressive rate hike pricing cools. SOFR White pack (SFRZ4-SFRU5) currently -0.120-0.195, while projected rate cuts broadly weaker vs. pre-data levels (*): Nov'24 cumulative -26.6bp (-33.1bp), Dec'24 -57.2bp (-66.3bp), Jan'25 -80.9bp (-93.9bp). Salient trade includes:

  • Block, 10,000 SFRX4 95.43/95.62 put spds, 1.0 ref 95.815
  • +5,000 SFRZ4 95.43/95.56 put spds 0.75 ref 95.805
  • -10,000 SFRZ4 95.87/96.00/96.12 call flys 1.00 to -0.75 ref 95.805
  • +5,000 SFRZ4 95.50p 1.0 ref 95.80
  • +20,000 SFRZ4 95.50/95.62 put spds 1.5 ref 95.80
  • +5,000 0QX4 97.37/97.62 call spds 6.0 ref 96.735
  • +5,000 SFRZ5 96.00/96.50 put spds 16.5 ref 96.735
  • +30,000 SFRZ4 95.43/95.56 put spds 0.75 ref 95.80
  • +5,000 SFRZ5 99.00/99.50/100.00 call trees 1.5 ref 96.755
  • -10,000 0QV4 96.75/96.87/97.25/97.37 put condors, 4.0 96.75
  • Block, 15,000 SFRV4 95.87 puts 0.75 over SFRZ4 95.62/95.75 put spds vs. 95.82/0.50%
  • Block, 10,000 SFRX4 95.43/95.62 put spds, 1.0
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Better put trade on net, mostly new and position adds with some modest profit taking since this morning's strong jobs gain and UR dip sees underlying shift lower as aggressive rate hike pricing cools. SOFR White pack (SFRZ4-SFRU5) currently -0.120-0.195, while projected rate cuts broadly weaker vs. pre-data levels (*): Nov'24 cumulative -26.6bp (-33.1bp), Dec'24 -57.2bp (-66.3bp), Jan'25 -80.9bp (-93.9bp). Salient trade includes:

  • Block, 10,000 SFRX4 95.43/95.62 put spds, 1.0 ref 95.815
  • +5,000 SFRZ4 95.43/95.56 put spds 0.75 ref 95.805
  • -10,000 SFRZ4 95.87/96.00/96.12 call flys 1.00 to -0.75 ref 95.805
  • +5,000 SFRZ4 95.50p 1.0 ref 95.80
  • +20,000 SFRZ4 95.50/95.62 put spds 1.5 ref 95.80
  • +5,000 0QX4 97.37/97.62 call spds 6.0 ref 96.735
  • +5,000 SFRZ5 96.00/96.50 put spds 16.5 ref 96.735
  • +30,000 SFRZ4 95.43/95.56 put spds 0.75 ref 95.80
  • +5,000 SFRZ5 99.00/99.50/100.00 call trees 1.5 ref 96.755
  • -10,000 0QV4 96.75/96.87/97.25/97.37 put condors, 4.0 96.75
  • Block, 15,000 SFRV4 95.87 puts 0.75 over SFRZ4 95.62/95.75 put spds vs. 95.82/0.50%
  • Block, 10,000 SFRX4 95.43/95.62 put spds, 1.0