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Early SOFR/Treasury Option Roundup

US TSYS
Slow start to the new week, muted Treasury and SOFR option volume, underlying futures extending modestly lower at the bell. Projected rate cut pricing are largely steady vs. late Friday levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -18.4bp (-17.6bp), Nov'24 cumulative -27.1bp (-26.6bp), Dec'24 -46.8bp (-46.7bp). This morning's salient flow includes:
  • SOFR Options:
    • 2,500 SFRU4 94.87/95.00 call spds ref 94.855
    • 7,500 SFRU4 94.87 calls, 6.5-7.0
  • Treasury Options:
    • 4,000 TYQ4 109.5/110.5/111.5 call flys, ref 110-12
    • -1,500 wk4 TY 110.5/111 call spds 7 vs. 110-14.5
    • 1,100 TUQ4 102.12/102.38/102.62 call trees, ref 102-05.88
    • 1,200 wk4 TY 111/111.5 1x2 call spds
  • Compares to Friday's heavy upside call buying: carry-over buying +80,000 Aug'24 10Y 111.5 calls Friday, strike corresponds to 4.1% yield vs. 4.2671% currently. Open interest rises by 53,082 to 123,464 Friday, after +70k late Thursday at 27 vs. 110-14/0.31%. SOFR call buying picked up with buyer of over 86,000 Mar'25 96.75/97.75 call spds at 4.75, open interest in the two strikes climbs 59,482 and 81,367 respectively.
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