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Early SOFR/Treasury Option Roundup

US TSYS
Couple standout trades on otherwise muted overnight summer flow: Sep'24 SOFR midcurve puts sold over call spread unwind on decent size, while Nov'24 2Y broken put condor bought on screen/blocked as an opener. Underlying futures trade making modest gains in short end to intermediates. Projected rate cuts look steady to mildly higher vs. late Monday levels (*): Sep'24 cumulative -31.1bp (-31.1bp), Nov'24 cumulative -61.3bp (-61.3bp), Dec'24 -94.2bp (-93.4bp).
  • SOFR Options:
    • -32,000 0QU4 96.25 puts vs. 96.87/97.00 call spds, even net ref 96.62 to -.625
    • 4,000 SFRH5 95.50/95.75 put spds vs. 96.25 calls ref 96.15
    • 2,500 SFRZ4 95.50/95.62/95.75 call flys ref 95.665
    • 2,600 SFRU4 95.12 calls ref 95.05
  • Treasury Options:
    • 3,800 TYU4 111.5 calls ref 113-08.5
    • Block/screen, +8,000 TUX4 102.5/103/103.25/103.5 broken put condors, 1.5 net vs. 103-06/0.04%
    • over 7,000 TYU4 112.75 puts, 6 last ref 113-08
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