STIR: Early SOFR/Treasury Option Roundup

SOFR & Treasury option flow looked relatively paired overnight, leaning towards low delta puts in the lead-up to the NY open with underlying futures drifting near steady. Curves adding slightly to Thu's steepening w/ 2s10s +.896 at 35.929. Projected rate cuts through mid-2025 running steady to gaining slightly vs. late Thursday levels (*) as follows: Jan'25 at -0.1bp, Mar'25 at -6.9bp, May'25 at -13.6bp (-12.9bp), Jun'25 at -24.5bp (-23.2bp), Jul'25 at -28.6bp (-27.6bp).

• SOFR Options
  • 5,750 SFRM5 95.25/95.50 put spds
  • 4,000 SFRM5 95.75/96.00/96.25 call flys ref 95.915
  • 1,600 0QH5 95.81 puts ref 96.04
  • 1,750 SFRG5 95.68/95.75/95.81 put flys
  • 1,200 SFRJ5/SFRM5 96.00 put spds ref 95.915
  • 1,100 SFRZ5 96.25/96.75 call spds vs. 3QZ5 96.75/97.25 call spds
• Treasury Options:
  • 2,000 TYJ5 108 puts ref 108-12
  • over 12,400 TYG5 108.25 puts, 4 last 
  • over 8,400 TYG5 108 puts, 1 last
  • over 6,000 TYG5 108.5 calls, 4 last
  • over 9,800 FVG5 106 puts, 1-3
  • over 6,600 FVG5 106.5 calls, 1 last
  • 3,350 wk1 TY 107/107.5 put spds ref 108-14 (expire Feb 7)
  • 2,000 Monday wkly 10Y 108/108.25 put spds ref 108-13 (expire Monday)