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Early SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury options see better call trade overnight, light volumes ahead into the heavy data deluge on shortened pre-holiday session. Projected rate cut pricing through year end have receded vs. late Tuesday levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -17.4bp (-18.5bp), Nov'24 cumulative -26.1bp (-27.1bp), Dec'24 -43.9bp (-46.3bp). Salient flow includes:
  • SOFR Options:
    • 1,500 SFRV4 95.12/95.25/95.37 call flys
  • Treasury Options:
    • 1,000 FVU4 107/108.5/110 call flys
    • 2,000 USQ4 112 puts, 10 ref 116-27
    • 1,200 TYQ4 111.5/113/114.5 call flys ref 109-15
    • over 3,000 TYU4 112 calls, 16 last
    • Block, +5,000 TYQ4 110.5 calls, 19 ref 109-13
    • 1,400 TYQ4 110.5/111 call spds ref 109-14.5

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