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Early SOFR/Treasury Option Roundup

US TSYS
Light SOFR, Treasury option flow overnight, underlying futures mildly weaker, low end of narrow overnight range. Projected rate cut pricing into year end look steady to mixed vs. late Thursday levels (*) -- Sep gains while Nov and Dec decline: July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -25.9bp (-25.2bp), Nov'24 cumulative -40.6bp (-41.1bp), Dec'24 -63.1bp (-64.6bp). Salient flow includes:
  • SOFR Options:
    • 2,000 SFRU4 94.81/94.93/95.06 call flys
    • 1,000 0QQ4 96.62/97.00 2x3 call spds
  • Treasury Options:
    • over 5,100 TYQ4 111.5 calls, 10 last
    • 4,000 TYQ4 110.5 puts, 8 last
    • over 4,400 TYQ4 110.25 puts, 5
    • over 6,400 Wednesday weekly 5Y107 puts, 2 ref 107-13.25 (expire next Wed)

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