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Early SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury options trade mixed on lighter summer volumes, SOFR leaning towards puts at the moment, fading rebound in underlying this morning. Projected rate cut pricing through year end running steady vs. late Monday levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -17.4bp, Nov'24 cumulative -26.8bp, Dec'24 -45.4bp. Salient flow includes:
  • SOFR Options:
    • +10,000 SFRZ5 94.62/95.62 put spds, 27.0 vs. 95.935/0.25%
    • 1,500 SFRU4 94.56/94.81/94.93 broken put flys ref 94.85
    • 3,000 0QN4 95.37/95.62 put spds ref 95.815
  • Treasury Options:
    • 2,000 Wednesday weekly 30Y 115/116 put spds, 10 expire tomorrow
    • 3,000 FVQ 106.5/107/107.5 call flys
    • Block, +5,000 TYQ4 110.5 calls, 18 ref 109-09.5
    • 1,400 wk2 FV 107.25/108 call spds ref 106-06.25
    • 1,600 wk2 TY 110/110.5/111.5/112.25 broken call condors ref 109-11

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