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Early SOFR/Treasury Option Roundup:

US TSYS
Option desks continue to report better SOFR call structure trade in the lead up to the NY open, Treasury options more paired as underlying futures are scaling back overnight gains, still firm (TYU4 +7 at 113-03.5 vs. 113-14 high). Projected rate cut pricing into year end gain slightly vs. late Wednesday levels (*): Sep'24 cumulative -44.8bp (-44.3bp), Nov'24 cumulative -77.6bp (-76bp), Dec'24 -109.3bp (-107.8bp).
  • SOFR Options:
    • over 32,000 SFRU4 95.25 calls, 9.0 ref 95.20 (OI>293k)
    • 6,000 SFRU4 95.18/95.31/95.43 call flys ref 95.21
    • over -40,000 SFRZ4 95.25/95.50 call spds, 19.5 ref 95.855 to -.85 (OI 325k-365k)
    • 2,000 SFRZ4 95.06/95.18/95.31 put flys ref 95.875
  • Treasury Options:
    • 6,000 TYU4 113.5/114.5 call spds vs. 112.5 puts, 0.0-2.0 ref 113-09
    • over 10,500 FVU4 111.5 calls, 3 last ref 108-31.75
    • 3,000 wk2 FV 108.5/108.75 put spds expire tomorrow
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