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Early SOFR/Treasury Option Roundup

US TSYS
SOFR/Treasury options generated modest two-way volumes overnight, decent interest in Aug 10Y puts and 10Y midcurve calls that expire today. Underlying futures trading mildly weaker while projected rate cut pricing through year end looks steady vs. late Thursday levels: July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.5, Nov'24 cumulative -26.6bp, Dec'24 -45.3bp. Salient flow includes:
  • SOFR Options:
    • 2,000 SFRU4 94.81/94.87/94.93/95.00 call condors, ref 94.85
    • 4,000 SFRQ4 94.68/94.75/94.87 put trees ref 94.845
    • 2,500 SFRZ4 95.75/96.00/96.25/96.50 call condors, ref 95.135
  • Treasury Options:
    • Over 15,700 wk4 TY 110.5 calls, 2 ref 110-05 (expire today)
    • Over 11,000 TYQ4 109 puts, 19-17, 17 last ref 110-16
    • 1,500 FVQ 107/108/108.5 broken call flys ref 106-20.25
    • 2,000 TYU4 108/112 strangles, ref 110-03.5

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