Early SOFR/Treasury Option Roundup

Option desks reported light trade overnight SOFR options leaning toward puts at the moment, 10Y midcurve skew play in Treasury options so far. Underlying futures weaker, curves mildly steeper with the long end underperforming. Projected rate cut pricing into year end looks marginally lower vs. late Friday levels (*): Sep'24 cumulative -38.1bp (-39.4bp), Nov'24 cumulative -69.7bp (-70.5bp), Dec'24 -100.6bp (-102.2bp).

• SOFR Options:
  • 3,000 SFRQ494.93/95.00/95.06 put flys
  • 1,000 SFRX4 95.37/95.50/95.62/95.75 put condors
  • Block/screen, 6,000 SFRH5 96.00/96.25 call spds vs. 95.50/95.75 put spds, 4.5 net ref 96.18
• Treasury Options:
  • 2,000 FVU4 110 calls, 5 ref 108-22
  • 4,000 wk3 5FV 108.75/109.25 call spds vs. 108.25 put ref 108-22.75 (expire Fri)
  • over 15,000 wk3 TY 113/113.5 call spds vs. 112.25 put, 0.0 ref 112-26.5 to -29 (expire Fri)
  • 2,800 TYV4 114/116.5 1x2 call spds vs. TYV4 111 put ref 113-14