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Early SOFR/Treasury Option Roundup

US TSYS
Option desks reported mixed SOFR/Treasury option flow overnight on lighter volumes, SOFR leaning towards early 2025 call skew buying, Treasury options leaning towards 10Y puts. Underlying futures firmer on light summer volume (TYU4 <290k). Projected rate cuts have receded vs. late Friday levels (*): Sep'24 cumulative -33.1bp (-33.8bp), Nov'24 cumulative -62.8bp (-64.2bp), Dec'24 -95.4bp (-96.8bp).
  • SOFR Options:
    • Block/screen, +6,000 SFRH5 96.25/96.50 call spds vs. 95.50/95.75 put spds, 1.0 net call spd over vs. 96.155/0.25%
  • Treasury Options:
    • Block, +5,000 wk1 TY 112.5/113.5 2x1 put spds, 8 vs. 113-07.5/0.10%
    • 20,500 TYU4 112.5 puts, some tied to 113.5 calls/strangle
    • over 3,900 TYU4 113 puts, 14 ref 113-08.5
    • 3,000 TYU4 113.25 straddles, 47 ref 113-09
    • 2,200 TYU4 113.25 calls, 18 ref 113-08

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