Pick-up in SOFR option volumes in the last few minutes with Mar'25 skew plays trading, mixed Treasury 10- and 30Y midcurves earlier. Projected rate cuts into early 2025 running near early week highs, current levels vs. late Tuesday (*) as follows: Dec'24 cumulative -18.5bp (-18.0bp), Jan'25 -24.4bp (-24.4bp), Mar'25 -39.0bp (-39.9bp), May'25 -47.8bp (-48.3bp).
- SOFR Options:
- 10,000 SFRH5 95.56 puts vs. 95.87/96.00 call spds ref 95.82
- 6,000 SFRM5 96.06/96.18 call spds vs. 2QM596.75/96.87 call spd spd
- 5,000 SFRF5 95.87/96.0625/96.25 put flys ref 95.825
- Treasury Options:
- 4,000 wk1 TY 109.5/109.75 put spds ref 110-24.5, expire Friday
- 4,400 weekly Mon US 120/121 call spds ref 118-23, expire 12/9
- 2,000 TYF5 112.75/113.25 call spds ref 110-31
