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Early SOFR/Treasury Option Roundup

US TSYS
Light SOFR and Treasury option volumes reported overnight, underlying futures weaker in the short end to modestly higher out the curve. Typical muted summer trade while markets show little reaction to President Biden pulling out of the 2024 race. Projected rate cut pricing into year end look steady to cooler vs. late Friday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -25bp (-25.9bp), Nov'24 cumulative -39.5bp (-40.6bp), Dec'24 -62bp (-62.9bp). Salient flow includes:
  • SOFR Options:
    • 1,250 0QZ4 96.50/96.75 call spds ref 96.28
    • 1,000 0QV4 97.00/97.50 call spds ref 96.295
    • 1,000 SFRQ4/SFRU4 94.93 call spds
  • Treasury Options:
    • 4,000 USU4 115/117 put spds ref 119-08
    • 11,100 wk1 TY 111.25/112.25 call spds w/ TYQ4 111/111.5 call spds, 24 total
    • 5,000 FVU4 107.75 calls, 22.5 last
    • 1,400 FVQ4 107.75/108 call spds ref 107-10.25
    • 3,000 TYU4 108.5/110.5 put spds vs. TYU4 113.5 calls ref 110-31.5

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