Early SOFR/Treasury Option Roundup

More mixed two-way trade in SOFR options overnight, light Treasury option flow does include decent buying of Aug'24 10Y calls. Underlying futures inching lower, paring Tuesday's rebound off Retail Sales-tied lows. Tsy curves resume flattening, projected rate cut pricing into year end slightly cooler vs. late Tuesday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.7bp (-26.6bp), Nov'24 cumulative -41.1bp (-42.9bp), Dec'24 -63.6bp (-65.4bp). Salient flow includes:

• SOFR Options:
  • 4,850 0QU4 95.87/96.12 2x1 put spds ref 96.22
  • 5,000 0QQ4 96.00/2QQ4 96.25 put diagonals spds
  • -3,000 SFRU4 95.00/95.25 call spds, 2.5 ref 94.945
  • 2,500 0QU4 96.25/96.75 1x2 call spds ref 96.22
  • Block, -2,974 SFRZ5 96.50/97.50 call spds, 18
  • 3,000 SFRZ4 95.31/95.43/95.56 call flys
  • +3,600 SFRZ4 94.87/95.12 2x1 put spds, 2.0 ref 95.355
• Treasury Options:
  • 2,500 FVQ4 108/108.25 call spds
  • over +26,600 TYQ4 111.5 calls (20k late Tuesday at 20)